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A new recursive algorithm of stochastic approximation type with the averaging of trajectories is investigated. Convergence with probability one is proved for a variety of classical optimization and identification problems. It is also demonstrated for these problems that the proposed algorithm achieves the highest possible rate of convergence.
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Polyak et al. (Wed,) studied this question.
www.synapsesocial.com/papers/6a00b05c2ff633f365780cbd — DOI: https://doi.org/10.1137/0330046
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