A Bayesian Stochastic Approximation Method

Abstract: Motivated by the goal of improving the efficiency of small sample design, we propose a novel Bayesian stochastic approximation method to estimate the root of a regression function. The method features adaptive local modelling and nonrecursive iteration. Strong consistency of the Bayes estimator is obtained. Simulation studies show that our method is superior in finite-sample performance to Robbins--Monro type procedures. Extensions to searching for extrema and a version of generalized multivariate quantile are presented.