Stochastic recursive algorithms for optimization. Simultaneous perturbation methods

DOI10.1007/978-1-4471-4285-0zbMath1260.90002OpenAlexW2493209382MaRDI QIDQ441138

H. L. Prasad, L. A. Prashanth, Shalabh Bhatnagar

Publication date: 20 August 2012

Published in: Lecture Notes in Control and Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4471-4285-0

zbMATH Keywords

Markov decision processgradient schemesalgorithms of Robbins-Monro and Kiefer-Wolfowitzstochastic recursive algorithms

Mathematics Subject Classification ID

Quadratic programming (90C20) Stochastic scheduling theory in operations research (90B36) Markov and semi-Markov decision processes (90C40) Traffic problems in operations research (90B20) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

Related Items (23)

Multiscale Q-learning with linear function approximation ⋮ Risk-Sensitive Reinforcement Learning via Policy Gradient Search ⋮ Variance-constrained actor-critic algorithms for discounted and average reward MDPs ⋮ Variable ansatz applied to spectral operator decomposition in a physical superconducting quantum device ⋮ A model for data transmission and its optimization ⋮ Stochastic approximation procedures for Lévy-driven SDEs ⋮ Modeling and control of data transmission ⋮ Learning equilibrium mean‐variance strategy ⋮ Nested kriging predictions for datasets with a large number of observations ⋮ Generalization of a result of Fabian on the asymptotic normality of stochastic approximation ⋮ Gradient-Based Adaptive Stochastic Search for Simulation Optimization Over Continuous Space ⋮ Newton-based stochastic optimization using \(q\)-Gaussian smoothed functional algorithms ⋮ Smoothed functional-based gradient algorithms for off-policy reinforcement learning: a non-asymptotic viewpoint ⋮ Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization ⋮ Risk-Constrained Reinforcement Learning with Percentile Risk Criteria ⋮ Simultaneous perturbation Newton algorithms for simulation optimization ⋮ A simulation‐based algorithm for optimal pricing policy under demand uncertainty ⋮ Recurrent neural networks as optimal mesh refinement strategies ⋮ Derivative-free optimization methods ⋮ Simulation methods for robust risk assessment and the distorted mix approach ⋮ Quantum simulation of the ground-state Stark effect in small molecules: a case study using IBM Q ⋮ Iterative learning control using faded measurements without system information: a gradient estimation approach ⋮ Actor-Critic Algorithms with Online Feature Adaptation

This page was built for publication: Stochastic recursive algorithms for optimization. Simultaneous perturbation methods