Globally convergent stochastic optimization with optimal asymptotic distribution

A stochastic gradient descent method is combined with a consistent auxiliary estimate to achieve global convergence of the recursion. Using step lengths converging to zero slower than 1/n and averaging the trajectories, yields the optimal convergence rate of 1/√(n) and the optimal variance of the asymptotic distribution. Possible applications can be found in maximum likelihood estimation, regression analysis, training of artificial neural networks, and stochastic optimization.