Stochastic optimization procedure convergence with Markov switching in the averaging scheme

zbMATH Open1224.60183MaRDI QIDQ2430278FDOQ2430278

Authors: Yanyan Li 

Publication date: 6 April 2011

Published in: Matematychni Studiï (Search for Journal in Brave)

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zbMATH Keywords

Lyapunov functionMarkov switchingstochastic optimization procedureevolutionary system

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Cited In (6)

• Asymptotic behavior of a modified stochastic optimization procedure in an averaging scheme
• Discrete model of stochastic optimization of an investment portfolio
• A difference stochastic optimization procedure with impulse perturbation
• Continuous stochastic optimization with semi-Markov switchings in the diffusion approximation scheme
• Asymptotic behaviour of stochastic optimization jumping procedure in averaging scheme
• Convergence of one-dimensional stochastic optimization procedures in semi-Markov environments

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