Article ID: | iaor20112613 |
Volume: | 72 |
Issue: | 2 |
Start Page Number: | 283 |
End Page Number: | 288 |
Publication Date: | Feb 2011 |
Journal: | Automation and Remote Control |
Authors: | Kan S |
Keywords: | stochastic approximation, distribution fitting |
We study the almost surely convergence of a stochastic approximation procedure for the quantile criterion estimation. We take into account the case when the distribution function of the loss function has a discontinuity at a point coinciding with the quantile criterion value. We show that the procedure converges to the desired point under known standard assumptions with no additional constraints.