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Asymptotic normality of randomly truncated stochastic algorithms

Jérôme Lelong — 2013

ESAIM: Probability and Statistics

We study the convergence rate of randomly truncated stochastic algorithms, which consist in the truncation of the standard Robbins–Monro procedure on an increasing sequence of compact sets. Such a truncation is often required in practice to ensure convergence when standard algorithms fail because the expected-value function grows too fast. In this work, we give a self contained proof of a central limit theorem for this algorithm under local assumptions on the expected-value function, which are fairly...

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