Stochastic approximation methods for constrained and unconstrained systems

zbMath0381.60004MaRDI QIDQ1248264

Dean S. Clark, Harold J. Kushner

Publication date: 1978

Published in: Applied Mathematical Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Stochastic approximation (62L20) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Abstract approximation theory (approximation in normed linear spaces and other abstract spaces) (41A65) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (only showing first 100 items - show all)

A method combining genetic algorithm with simultaneous perturbation stochastic approximation for linearly constrained stochastic optimization problems ⋮ Asymptotic behavior of constrained stochastic approximations via the theory of large deviations ⋮ Inventory models under uncertainty: An adaptive approach ⋮ Stochastic and robust control of nonlinear economic systems ⋮ On convergence of the stochastic subgradient method with on-line stepsize rules ⋮ Optimal load sharing in soft real-time systems using likelihood ratios ⋮ An algorithm with randomly varying truncation for adaptive beam-formers ⋮ A constrained optimization perspective on actor-critic algorithms and application to network routing ⋮ Stochastic forward-backward splitting for monotone inclusions ⋮ On stochastic extremum seeking via adaptive perturbation-demodulation loop ⋮ Approximation of the initial reserve for known ruin probabilities ⋮ An online prediction algorithm for reinforcement learning with linear function approximation using cross entropy method ⋮ Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds ⋮ Multiscale Q-learning with linear function approximation ⋮ A combined direction stochastic approximation algorithm ⋮ A combined algorithm for identification and approximation ⋮ Online estimation of hazard rate under random censoring ⋮ Strong consistency of recursive identification by no use of persistent excitation condition ⋮ Minimizing noisy functionals in Hilbert space: An extension of the Kiefer-Wolfowitz procedure ⋮ Optimization of discrete variable stochastic systems by computer simulation ⋮ Adaptive filters with constraints and correlated non-stationary signals ⋮ Convergence properties of ordinal comparison in the simulation of discrete event dynamic systems ⋮ Constrained optimization via stochastic approximation with a simultaneous perturbation gradient approximation ⋮ Learning in linear models with expectational leads ⋮ On the choice of step size in the Robbins-Monro procedure ⋮ Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algo\-rithms ⋮ Weighted averaging and stochastic approximation ⋮ Rates of convergence of ordinal comparison for dependent discrete event dynamic systems ⋮ Linear programming with stochastic elements: An on-line approach ⋮ Almost sure convergence of Titterington's recursive estimator for mixture models ⋮ On a proof of Robbins-Monro algorithm ⋮ Randomized urn models revisited using stochastic approximation ⋮ A simulation optimization method that considers uncertainty and multiple performance measures ⋮ Convergence of least squares learning mechanisms in self-referential linear stochastic models ⋮ Abstract stochastic approximations and applications ⋮ On recursive estimation for hidden Markov models ⋮ Extremum seeking under stochastic noise and applications to mobile sensors ⋮ Convergence of algorithms used for principal component analysis ⋮ A smoothing stochastic algorithm for quantile estimation ⋮ Extremum seeking of dynamical systems via gradient descent and stochastic approximation methods ⋮ Stochastic approximation with two time scales ⋮ A space quantization method for numerical integration ⋮ Stochastic fictitious play with continuous action sets ⋮ Variance-constrained actor-critic algorithms for discounted and average reward MDPs ⋮ Convergence proof of matrix dynamics for online linear discriminant analysis ⋮ A second-order iterated smoothing algorithm ⋮ Iterated filtering ⋮ Weak convergence of Markov chain sampling methods and annealing algorithms to diffusions ⋮ Algorithmes stochastiques à bruit dépendant (Dependent noise for stochastic algorithms). ⋮ Convergence of a stochastic approximation algorithm for the GI/G/1 queue using infinitesimal perturbation analysis ⋮ Stabilization of stochastic approximation by step size adaptation ⋮ A case study of an adaptive load balancing algorithm ⋮ A simplified neuron model as a principal component analyzer ⋮ Generalization of a result of Fabian on the asymptotic normality of stochastic approximation ⋮ Contractivity of a Markov operator on the space of normalised positive distributions ⋮ Control: a perspective ⋮ Stochastic approximation with dependent noise ⋮ Reinforcement learning for long-run average cost. ⋮ On learning multicategory classification with sample queries. ⋮ Convergent multiple-timescales reinforcement learning algorithms in normal form games ⋮ Convergence in models with bounded expected relative hazard rates ⋮ Newton-based stochastic optimization using \(q\)-Gaussian smoothed functional algorithms ⋮ IPA for continuous stochastic marked graphs ⋮ Convergence theorems for the Kohonen feature mapping algorithms with VLRPs ⋮ Almost sure convergence of randomly truncated stochastic algorithms under verifiable condi\-tions ⋮ Stochastic approximation, cooperative dynamics and supermodular games ⋮ Multiclass classification and gene selection with a stochastic algorithm ⋮ Stochastic quasigradient methods for optimization of discrete event systems ⋮ Gradient estimates for the performance of Markov chains and discrete event processes ⋮ Generalized surrogate problem methodology for online stochastic discrete optimization ⋮ Adaptive algorithms for first principal eigenvector computation ⋮ Monte Carlo algorithms for optimal stopping and statistical learning ⋮ Efficient and fast estimation of the geometric median in Hilbert spaces with an averaged stochastic gradient algorithm ⋮ Analysis of an identification algorithm arising in the adaptive estimation of Markov chains ⋮ A stopping rule for the Robbins-Monro method ⋮ The stochastic approximation method for the estimation of a multivariate probability density ⋮ Adaptation and tracking in system identification - a survey ⋮ Sharp convergence rates of stochastic approximation for degenerate roots ⋮ Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size ⋮ Topological orbital equivalence with asymptotic phase for a two time- scales discrete-time system ⋮ Nonparametric adaptive learning with feedback ⋮ Stochastic gradient algorithm with random truncations ⋮ Stochastic approximation algorithms with constant step size whose average is cooperative ⋮ Weak convergence rates for stochastic approximation with application to multiple targets and simulated annealing ⋮ Asymptotic behavior of self-organizing maps with nonuniform stimuli distribution ⋮ Natural actor-critic algorithms ⋮ Nondifferential optimization via adaptive smoothing ⋮ Theory and applications of adaptive control - a survey ⋮ Dynamical systems and variational inequalities ⋮ Stochastic programming in water management: A case study and a comparison of solution techniques ⋮ Convergence of stochastic approximation coupled with perturbation analysis in a class of manufacturing flow control models ⋮ Inexact subgradient methods with applications in stochastic programming ⋮ Recursive identification in continuous-time stochastic processes ⋮ Asymptotic normality of the continuous-time stochastic approximation algorithm ⋮ About Gaussian schemes in stochastic approximation ⋮ On stochastic approximation of the eigenvectors and eigenvalues of the expectation of a random matrix ⋮ Simulated annealing type algorithms for multivariate optimization ⋮ On a continuous time stochastic approximation problem ⋮ Théorèmes de convergence presque sure pour une classe d'algorithmes stochastiques à pas decroissant ⋮ Neurodynamics and nonlinear integrable systems of Lax type

This page was built for publication: Stochastic approximation methods for constrained and unconstrained systems