| 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.