# Confusion about Robbins-Monro algorithm in Bishop PRML

This is basically how Robbins-Monro is presented in chapter 2.3 of Bishop's PRML book (from his slides): In the general update equation, $$\theta^{(N)} = \theta^{(N-1)} - \alpha_{N-1}z(θ^{(N-1)})$$

$$z(θ^{(N)})$$ is an observed value of $$z$$ when $$θ$$ takes the value $$θ^{(N)}$$.

What got me confused is the introduction of the data variable $$x$$ into the equation in the last slide, particularly how $$z$$ now depends on $$x$$ (and $$\theta$$).

From the second to last equation, I can see that $$z(\theta)$$ should take the form: $$z(\theta)= \frac{\partial}{\partial θ} [ - \text{ln} p(x | \theta) ]$$

But it's not clear to me how $$z(θ^{(N-1)})$$ becomes $$\frac{\partial}{\partial θ^{(N-1)}} [ - \text{ln} p(x_N | \theta^{(N-1)})]$$ in the last equation:

$$\theta^{(N)} = \theta^{(N-1)} - \alpha_{N-1} \frac{\partial}{\partial θ^{(N-1)}} [ - \text{ln} p(x_N | \theta^{(N-1)})]$$

Why is $$x_N$$ used for the likelihood instead of $$x_{N-1}$$, since $$\theta^{(N-1)}$$ is also used? Is $$x$$ considered given/fixed or is it a random variable?

And with any correctly chosen $$\alpha_N$$, am I garuanteed to reach a maximum likelihood estimate after iterating through the $$N$$ data points (i.e. is it an "online" algorithm, or do I need to process all the data several epochs for before convergence)?

• I guess you need to observe $x_N$ data point to estimate $\theta_N$ Feb 22, 2017 at 17:39

Following Bishop PRML section 2.3.5, given a joint distribution, $$p(z,\theta)$$, Robbins-Monro is an algorithm for iterating to the root of the regression function, $$f(\theta) = E[z|\theta]$$. To apply it to find the true mean $$\mu$$, we let $$\mu_{ML}$$ play the role of $$\theta$$, and let $$z=-\frac{\partial}{\partial \mu_{ML}} [\text{ln} p(x | \mu_{ML};\sigma^2) ]=-(x-\mu_{ML})/\sigma^2$$.

Then the Robbins-Monro iteration

$$\mu_{ML}^{(N)}=\mu_{ML}^{(N-1)}-a_{N-1}z(\mu_{ML}^{(N-1)})$$

reproduces (2.26) with $$a_N=\sigma^2/N$$.

Note that $$p(z|\mu_{ML};\sigma^2)=N(z|(\mu_{ML}-\mu)/\sigma^2; \sigma^{-2})$$ so that the regression function, $$f(\mu_{ML})=E[z|\mu_{ML}]$$ meets the criteria for RM iteration to a root: $$E[z|\mu_{ML}]>0$$ when $$\mu_{ML}-\mu>0$$ and $$f(\mu_{ML}=\mu)=0$$.

Note that, in the earlier printings, there are many errata for this section 2.3.5, key among them is that $$\theta$$ corresponds to $$\mu_{ML}$$ (not to $$\mu$$) as indicated in Figure 2.11.

The $$x_i$$ are iid (, but the $$z_i$$ are not, they are converging to 0 via the Robbins-Monro). So it's therefore no problem to use $$x_N$$ instead of $$x_{N-1}$$, likewise one can cycle through and use $$x_i$$ as $$x_{i+N}$$ to generate $$z_{i+N}$$.