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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Convergence of least squares learning mechanisms in self-referential linear stochastic models
IPA for continuous stochastic marked graphs
Optimisation of a single-component maintenance system: A smoothed perturbation analysis approach
Almost sure convergence of Titterington's recursive estimator for mixture models
Multiscale Stochastic Approximation for Parametric Optimization of Hidden Markov Models
Stochastic programming in water management: A case study and a comparison of solution techniques
Weak convergence rates for stochastic approximation with application to multiple targets and simulated annealing
Convergence in models with bounded expected relative hazard rates
Newton-based stochastic optimization using \(q\)-Gaussian smoothed functional algorithms
Optimal posting price of limit orders: learning by trading
scientific article; zbMATH DE number 3833142 (Why is no real title available?)
Sur quelques algorithmes récursifs pour les probabilités numériques
A companion for the Kiefer-Wolfowitz-Blum stochastic approximation algorithm
Inexact subgradient methods with applications in stochastic programming
Iterated filtering
Theory and applications of adaptive control - a survey
Two approaches to optimal routing and admission control in systems with real-time traffic
Learning aspiration in repeated games
Stochastic approximation with nondecaying gain: Error bound and data‐driven gain‐tuning
Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds
Optimal step sizes in semi-stochastic approximation procedures. II
Finite-temperature coarse-graining of one-dimensional models: mathematical analysis and computational approaches
Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces
Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions
Stochastic forward-backward splitting for monotone inclusions
A constrained optimization perspective on actor-critic algorithms and application to network routing
Stochastic quasigradient methods for optimization of discrete event systems
A second-order iterated smoothing algorithm
A partial history of the early development of continuous-time nonlinear stochastic systems theory
Constrained optimization via stochastic approximation with a simultaneous perturbation gradient approximation
Simulated annealing type algorithms for multivariate optimization
Nonparametric adaptive learning with feedback
On stochastic approximation of the eigenvectors and eigenvalues of the expectation of a random matrix
A new hybrid stochastic approximation algorithm
Stochastic algorithm for Bayesian mixture effect template estimation
Stochastic approximation algorithms with constant step size whose average is cooperative
Extremum seeking under stochastic noise and applications to mobile sensors
Stochastic gradient algorithm with random truncations
Almost sure convergence of randomly truncated stochastic algorithms under verifiable condi\-tions
Stochastic fictitious play with continuous action sets
Abstract stochastic approximations and applications
A smoothing stochastic algorithm for quantile estimation
Contractivity of a Markov operator on the space of normalised positive distributions
Approximate consensus in the dynamic stochastic network with incomplete information and measurement delays
Quantile estimation with adaptive importance sampling
Smoothed functional algorithms for stochastic optimization using \(q\)-Gaussian distributions
Minimization algorithms based on supervisor and searcher cooperation
Optimization via simulation: A review
Asymptotic behavior of constrained stochastic approximations via the theory of large deviations
Randomized urn models revisited using stochastic approximation
Efficient and fast estimation of the geometric median in Hilbert spaces with an averaged stochastic gradient algorithm
When can the two-armed bandit algorithm be trusted?
ITERATIVE AND RECURSIVE ESTIMATION OF TRANSFER FUNCTIONS
On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling
A simplified neuron model as a principal component analyzer
Natural actor-critic algorithms
Nondifferential optimization via adaptive smoothing
Stochastic approximation algorithm for minimax problems
Stochastic approximation, cooperative dynamics and supermodular games
Stochastic and robust control of nonlinear economic systems
Monte Carlo algorithms for optimal stopping and statistical learning
Recursive identification in continuous-time stochastic processes
Optimal quadratic quantization for numerics: the Gaussian case
A two Timescale Stochastic Approximation Scheme for Simulation-Based Parametric Optimization
Analysis of an identification algorithm arising in the adaptive estimation of Markov chains
Multiscale Q-learning with linear function approximation
Reinforcement learning for long-run average cost.
Adaptation and tracking in system identification - a survey
A space quantization method for numerical integration
Convergence properties of ordinal comparison in the simulation of discrete event dynamic systems
Large deviations analysis of reflected diffusions and constrained stochastic approximation algorithms in convex sets^†
Broadcast control of multi-agent systems
Extremum seeking of dynamical systems via gradient descent and stochastic approximation methods
Convergence rate of linear two-time-scale stochastic approximation.
On recursive estimation for hidden Markov models
Stabilization of stochastic approximation by step size adaptation
A method combining genetic algorithm with simultaneous perturbation stochastic approximation for linearly constrained stochastic optimization problems
Dynamical systems and variational inequalities
Asymptotic pseudotrajectories and chain recurrent flows, with applications
Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algo\-rithms
\({\mathcal Q}\)-learning
Stochastic approximation with two time scales
On the almost sure asymptotic behaviour of stochastic algorithm
Variance-constrained actor-critic algorithms for discounted and average reward MDPs
Convergence of a stochastic approximation version of the EM algorithm
Control: a perspective
Sensitivity analysis for Monte Carlo simulation of option pricing
Multiclass classification and gene selection with a stochastic algorithm
Inventory models under uncertainty: An adaptive approach
On convergence of the stochastic subgradient method with on-line stepsize rules
An algorithm with randomly varying truncation for adaptive beam-formers
On stochastic extremum seeking via adaptive perturbation-demodulation loop
Dynamics of Morse-Smale urn processes
An analysis of convergence for a learning version of the subspace method
Convergence proof of matrix dynamics for online linear discriminant analysis
Asymptotic normality of the continuous-time stochastic approximation algorithm
A case study of an adaptive load balancing algorithm
Adaptive algorithms for first principal eigenvector computation
Stochastic approximation on Riemannian manifolds
Convergence of a stochastic approximation algorithm for the GI/G/1 queue using infinitesimal perturbation analysis

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