Stochastic approximation with discontinuous dynamics and state dependent noise: w.p. 1 and weak convergence

DOI10.1016/0022-247X(81)90214-6zbMath0473.62074MaRDI QIDQ1158715

Harold J. Kushner

Publication date: 1981

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

averaging methodRobbins-Monro processweak convergence resultsautomata problemordinary differential equation method

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic approximation (62L20)

Related Items (6)

Convergence of stochastic approximation algorithms under irregular conditions ⋮ Adaptive Learning Algorithm Convergence in Passive and Reactive Environments ⋮ Convergence of Markovian Stochastic Approximation with Discontinuous Dynamics ⋮ Analysis of an identification algorithm arising in the adaptive estimation of Markov chains ⋮ Stochastic gradient algorithm with random truncations ⋮ Théorèmes de convergence presque sure pour une classe d'algorithmes stochastiques à pas decroissant

Cites Work

• On the Weak Convergence of a Sequence of General Stochastic Difference Equations to a Diffusion
• A projected stochastic approximation method for adaptive filters and identifiers
• Averaging Methods for the Asymptotic Analysis of Learning and Adaptive Systems, with Small Adjustment Rate
• Analysis of recursive stochastic algorithms
• Unnamed Item

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