Multiscale Stochastic Approximation for Parametric Optimization of Hidden Markov Models

DOI10.1017/S0269964800005003MaRDI QIDQ5488556zbMATH OpenOpenAlexFDO

Authors Shalabh Bhatnagar, Vivek Borkar

Publication date 22 September 2006

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964800005003

Mathematics Subject Classification ID

Stochastic approximation (62L20) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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Cites work

• scientific article; zbMATH DE number 825585 (Why is no real title available?)
• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
• Managing interprocessor delays in distributed recursive algorithms
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• Recursive Stochastic Algorithms for Global Optimization in $\mathbb{R}^d $
• Stability and convergence of moments for multiclass queueing networks via fluid limit models
• Stochastic approximation methods for constrained and unconstrained systems
• Stochastic optimization of regenerative systems using infinitesimal perturbation analysis
• The Kumar-Becker-Lin scheme revisited
• White-Noise Representations in Stochastic Realization Theory

Cited in

(6)

• Finite-sample analysis of nonlinear stochastic approximation with applications in reinforcement learning
• Multiscale Q-learning with linear function approximation
• Realization theory for two-time-scale distributions through approximation of Markov parameters
• scientific article; zbMATH DE number 5979097 (Why is no real title available?)
• Blackbox simulation optimization
• Stochastic approximation algorithms: overview and recent trends.

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