Continuous stochastic optimization with semi-Markov switchings in the diffusion approximation scheme

DOI10.1007/S10559-013-9578-0MaRDI QIDQ466432zbMATH OpenOpenAlexFDO

Authors V. R. Kukurba, Ya. M. Chabanyuk

Publication date 27 October 2014

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-013-9578-0

zbMATH Keywords

stochastic optimizationsemi-Markov process compensating operator

Mathematics Subject Classification ID

Stochastic programming (90C15) Markov and semi-Markov decision processes (90C40)

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• Continuous stochastic approximation with semi-Markov switchings in the diffusion approximation scheme
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• Convergence of a jump procedure in a semi-Markov environment in diffusion-approximation scheme

Cites work

• scientific article; zbMATH DE number 53271 (Why is no real title available?)
• scientific article; zbMATH DE number 3578127 (Why is no real title available?)
• scientific article; zbMATH DE number 1509412 (Why is no real title available?)
• Continuous procedure of stochastic approximation with singular perturbation under balance conditions
• Convergence of one-dimensional stochastic optimization procedures in semi-Markov environments
• Fluctuation of stochastic systems with average equilibrium point
• Stability of stochastic systems in the diffusion-approximation scheme
• Stochastic systems in merging phase space.

Cited in

(6)

• A difference stochastic optimization procedure with impulse perturbation
• Stochastic optimization procedure convergence with Markov switching in the averaging scheme
• Procedure of stochastic approximation for the diffusion process with semi-Markov switchings
• Continuous stochastic approximation with semi-Markov switchings in the diffusion approximation scheme
• Fluctuations of stochastic optimization procedure in diffusion approximation scheme
• Convergence of one-dimensional stochastic optimization procedures in semi-Markov environments

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