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There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
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The Robbins-Monro procedure (1951) for stochastic root-finding is a nonparametric approach. Wu (1985, 1986) has shown that the convergence of the sequential procedure can be greatly improved if we know the distribution of the response. Wu's approach assumes a parametric model and therefore its convergence rate slows down if the assumed model is very different from the true model. This article proposes a new approach that is robust to the model assumptions. The approach utilizes a pinned Gaussian process that gives more importance to observations closer to the root, which improves the fit to the true model around the root and makes the convergence faster. Simulation study shows that the new approach gives a superior performance over the existing methods.
