Stochastic optimization procedure convergence with Markov switching in the averaging scheme

MaRDI QIDQ2430278zbMATHFDO

Authors Yanyan Li

Publication date 6 April 2011

Published in Matematychni Studiï (Search for Journal in Brave)

zbMATH Keywords

Lyapunov functionMarkov switchingstochastic optimization procedureevolutionary system

Mathematics Subject Classification ID

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

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Cited in

(6)

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

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