Further Developments
An extensive theoretical literature has grown up around these algorithms, concerning conditions for convergence, rates of convergence, multivariate and other generalizations, proper choice of step size, possible noise models, and so on. These methods are also applied in control theory, in which case the unknown function which we wish to optimize or find the zero of may vary in time. In this case, the step size should not converge to zero but should be chosen so as to track the function., 2nd ed., chapter 3
C. Johan Masreliez and R. Douglas Martin were the first to apply stochastic approximation to robust estimation.
Read more about this topic: Stochastic Approximation
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