Fluctuations of stochastic optimization procedure in diffusion approximation scheme

MaRDI QIDQ2850434zbMATH OpenFDO

Authors U. T. Khimka, S. A. Semenyuk, Ya. M. Chabanyuk

Publication date 26 September 2013

Published in Visnyk. Seriya: Fizyko-Matematychni Nauky. Kyïvs'kyĭ Universytet Imeni Tarasa Shevchenka (Search for Journal in Brave)

zbMATH Keywords

diffusion perturbationimpulse perturbationMarkov processstochastic optimization procedure

Mathematics Subject Classification ID

Perturbations in control/observation systems (93C73) Optimal stochastic control (93E20)

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Cited in

(3)

• Asymptotic behavior of a modified stochastic optimization procedure in an averaging scheme
• A difference stochastic optimization procedure with impulse perturbation
• Fluctuations of a stochastic approximation procedure with diffusion perturbation

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