Asymptotic behavior of a modified stochastic optimization procedure in an averaging scheme

DOI10.1007/S10559-015-9788-8MaRDI QIDQ269152zbMATH OpenOpenAlexFDO

Authors P. P. Gorun, Ya. M. Chabanyuk

Publication date 18 April 2016

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-015-9788-8

zbMATH Keywords

Markov processstochastic optimizationasymptotic behavioraveraging scheme

Mathematics Subject Classification ID

Stochastic programming (90C15)

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• Discrete model of stochastic optimization of an investment portfolio
• Fluctuation of stochastic systems with average equilibrium point
• On Asymptotic Normality in Stochastic Approximation
• Randomized algorithms for stochastic approximation under arbitrary disturbances

Cited in

(1)

• Asymptotic behaviour of stochastic optimization jumping procedure in averaging scheme

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