References

A Stochastic Approximation Method

Herbert Robbins & Sutton Monro (1951)

The Annals of Mathematical Statistics, 22(3), 400-407.

DOI: https://doi.org/10.1214/aoms/1177729586

Abstract. The foundational paper on stochastic approximation, whose iterative scheme for finding roots of a noisy function is the ancestor of all modern stochastic gradient descent algorithms.

Tags: optimisation sgd foundational

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