A deterministic analysis of stochastic approximation with randomized directions

DOI10.1109/9.736077MaRDI QIDQ4506612zbMATH OpenOpenAlexFDO

Authors I-Jeng Wang, Edwin K. P. Chong

Publication date 17 October 2000

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.736077

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cited in

(3)

• Asynchronous algorithms for computing equilibrium prices in a capital asset pricing model
• Model-based annealing random search with stochastic averaging
• Performance analysis of the simultaneous perturbation stochastic approximation algorithm on the noisy sphere model

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