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- W2052899080 abstract "This paper presents a finite dimensional approach to stochastic approximation in infinite dimensional Hilbert space . The problem was motivated by applications in the field of stochastic programming wherein we minimize a convex function defined on a Hilbert space. We define a finite dimensional approximation to the Hilbert space minimizer. A justification is provided for this finite dimensional approximation. Estimates of the dimensionality needed are also provided. The algorithm presented is a two time-scale Newton-based stochastic approximation scheme that lives in this finite dimensional space. Since the finite dimensional problem can be prohibitively large dimensional, we operate our Newton scheme in a projected, randomly chosen smaller dimensional subspace ." @default.
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- W2052899080 date "2009-12-01" @default.
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- W2052899080 title "Finite dimensional approximation and Newton-based algorithm for stochastic approximation in Hilbert space" @default.
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- W2052899080 doi "https://doi.org/10.1016/j.automatica.2009.09.031" @default.
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