Probability metrics and recursive algorithms

Probability metrics and recursive algorithms

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Article ID: iaor1997113
Country: United Kingdom
Volume: 27
Issue: 3
Start Page Number: 770
End Page Number: 799
Publication Date: Sep 1995
Journal: Advances in Applied Probability
Authors: ,
Keywords: probability, computational analysis: personal computers
Abstract:

It is shown by means of several examples that probability metrics are a useful tool to study the asymptotic behaviour of (stochastic) recursive algorithms. The basic idea of this approach is to find a ‘suitable’ probability metric which yields contraction properties of the transformations describing the limits of the algorithm. In order to demonstrate the wide range of applicability of this contraction method the authors investigate examples from various fields, some of which have already been analysed in the literature.

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