Stochastic approximation methods for constrained and unconstrained systems

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic approximation (62L20) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Abstract approximation theory (approximation in normed linear spaces and other abstract spaces) (41A65) Estimation and detection in stochastic control theory (93E10)

Cited in

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Almost sure convergence of randomized urn models with application to elephant random walk
Random-direction optimization algorithms with applications to threshold controls
An analysis of convergence for a learning version of the subspace method
The actor-critic algorithm as multi-time-scale stochastic approximation.
Sensitivity analysis for Monte Carlo simulation of option pricing
scientific article; zbMATH DE number 3833142 (Why is no real title available?)
Regret bounds for Narendra-Shapiro bandit algorithms
Approximation of the initial reserve for known ruin probabilities
Optimal learning with local nonlinear parametric models over continuous designs
Stochastic approximation with nondecaying gain: Error bound and data‐driven gain‐tuning
scientific article; zbMATH DE number 7370534 (Why is no real title available?)
Delay-induced homoclinic bifurcations in modified gradient bistable systems and their relevance to optimization
Optimization with delay-induced bifurcations
A smoothing stochastic algorithm for quantile estimation
The stochastic approximation method for the estimation of a multivariate probability density
A partial history of the early development of continuous-time nonlinear stochastic systems theory
Convergence of stochastic approximation via martingale and converse Lyapunov methods
A method combining genetic algorithm with simultaneous perturbation stochastic approximation for linearly constrained stochastic optimization problems
Stochastic approximation with discontinuous dynamics, differential inclusions, and applications
Nonlinear randomized urn models: a stochastic approximation viewpoint
Numerical minimization methods for convex functionals dependent on probability measures with applications to optimal pollution monitoring
Stochastic approximation: from statistical origin to big-data, multidisciplinary applications
Introduction to learning and bounded rationality. (Preface to the special issue.)
When can the two-armed bandit algorithm be trusted?
A combined algorithm for identification and approximation
Strong consistency of recursive identification by no use of persistent excitation condition
Recursive estimators of integrated squared density derivatives
ITERATIVE AND RECURSIVE ESTIMATION OF TRANSFER FUNCTIONS
Simultaneous perturbation stochastic approximation: towards one-measurement per iteration
On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter
A Stochastic Subgradient Method for Nonsmooth Nonconvex Multilevel Composition Optimization
A simulation-based algorithm for optimal pricing policy under demand uncertainty
Gradient procedures for stochastic approximation with dependent noise and their asymptotic behaviour
Choices and intervals
A simultaneous perturbation weak derivative estimator for stochastic neural networks
Generalized surrogate problem methodology for online stochastic discrete optimization
Sufficient and necessary condition for the convergence of stochastic approximation algorithms
Stochastic forward-backward splitting for monotone inclusions
Convergence of a stochastic approximation version of the EM algorithm
Actor-Critic–Like Stochastic Adaptive Search for Continuous Simulation Optimization
Simulated annealing type algorithms for multivariate optimization
Stochastic quasigradient methods for optimization of discrete event systems
Risk-Sensitive Reinforcement Learning via Policy Gradient Search
Optimization of discrete variable stochastic systems by computer simulation
Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions
Negatively reinforced balanced urn schemes
Convergence rate of linear two-time-scale stochastic approximation.
Variance-constrained actor-critic algorithms for discounted and average reward MDPs
Adaptive recursive kernel conditional density estimators under censoring data
Almost sure convergence of randomly truncated stochastic algorithms under verifiable condi\-tions
Asymptotic behavior of self-organizing maps with nonuniform stimuli distribution
A combined direction stochastic approximation algorithm
\({\mathcal Q}\)-learning
On the stability and convergence of a self-tuning controller
Adaptive algorithms for first principal eigenvector computation
Sharp convergence rates of stochastic approximation for degenerate roots
Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds
Convergence of a Distributed Kiefer-Wolfowitz Algorithm
Minimizing noisy functionals in Hilbert space: An extension of the Kiefer-Wolfowitz procedure
Abstract stochastic approximations and applications
Multi-agent natural actor-critic reinforcement learning algorithms
Algorithmes stochastiques à bruit dépendant (Dependent noise for stochastic algorithms).
Analysis of an identification algorithm arising in the adaptive estimation of Markov chains
On the choice of step size in the Robbins-Monro procedure
On a proof of Robbins-Monro algorithm
STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA
Asymptotic pseudotrajectories and chain recurrent flows, with applications
Finite-temperature coarse-graining of one-dimensional models: mathematical analysis and computational approaches
Nonparametric adaptive learning with feedback
A Markov Chain Theory Approach to Characterizing the Minimax Optimality of Stochastic Gradient Descent (for Least Squares)
Stochastic gradient algorithm with random truncations
Asymptotic behavior of constrained stochastic approximations via the theory of large deviations
Concentration bounds for temporal difference learning with linear function approximation: the case of batch data and uniform sampling
A constrained optimization perspective on actor-critic algorithms and application to network routing
On the almost sure asymptotic behaviour of stochastic algorithm
An online prediction algorithm for reinforcement learning with linear function approximation using cross entropy method
Convergence of the Kiefer–Wolfowitz algorithm in the presence of discontinuities
Nonsmooth optimization by Lie bracket approximations into random directions
On learning multicategory classification with sample queries.
An adaptive optimization scheme with satisfactory transient performance
Dynamical systems and variational inequalities
Rates of convergence of semi-stochastic approximation procedures for solving stochastic optimization problems
Convergence of stochastic flows connected with stochastic ordinary differential equations
Constrained optimization via stochastic approximation with a simultaneous perturbation gradient approximation
Learning in linear models with expectational leads
Continuous-time stochastic approximation: Convergence and asymptotic efficiency
Stochastic and robust control of nonlinear economic systems
Extremum Seeking Control with Two-Sided Stochastic Perturbations
Convergent multiple-timescales reinforcement learning algorithms in normal form games
Reinforcement learning for long-run average cost.
Discrete variable stochastic approximation procedures and recursive autoregressive model identification
Stochastic programming in water management: A case study and a comparison of solution techniques
Online sufficient dimension reduction through sliced inverse regression
Self-tuning controllers: non-square systems and convergence
Contractivity of a Markov operator on the space of normalised positive distributions
Stochastic optimization on social networks with application to service pricing
Robust hebbian learning and noisy principal component analysis
Learning aspiration in repeated games
The multivariate Révész's online estimator of a regression function and its averaging
Extremum seeking under stochastic noise and applications to mobile sensors

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