A companion for the Kiefer–Wolfowitz–Blum stochastic approximation algorithm
Kiefer–Wolfowitz–Blum 随机逼近算法的伴随算法
A stochastic algorithm for the recursive approximation of the location $θ$ of a maximum of a regression function was introduced by Kiefer and Wolfowitz [Ann. Math. Statist. 23 (1952) 462–466] in the univariate framework, and by Blum [Ann. Math. Statist. 25 (1954) 737–744] in the multivariate case. The aim of this paper is to provide a companion algorithm to the Kiefer–Wolfowitz–Blum algorithm, which allows one to simultaneously recursively approximate the size $μ$ of the…