Large deviations and rare events in the study of stochastic algorithms
DOI10.1109/TAC.1983.1103345zbMATH Open0531.93064OpenAlexW2070057864MaRDI QIDQ3313752FDOQ3313752
Gérard Malgouyres, Jean-Claude Fort, Marie Cottrell
Publication date: 1983
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tac.1983.1103345
Recommendations
- Asymptotic behavior of stochastic approximation and large deviations
- Asymptotic behavior of constrained stochastic approximations via the theory of large deviations
- Large deviations analysis of some recursive algorithms with state dependent noise
- scientific article; zbMATH DE number 4113792
- Stochastic Approximations via Large Deviations: Asymptotic Properties
Large deviations (60F10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Stochastic approximation (62L20) Communication theory (94A05) Discrete-time Markov processes on general state spaces (60J05) Stochastic stability in control theory (93E15) Probabilistic measure theory (60A10)
Cited In (29)
- Editorial: rare-event simulation for queues
- A model for data transmission and its optimization
- A heavy-traffic comparison of shared and segregated buffer schemes for queues with the head-of-line processor-sharing discipline
- Optimal importance sampling for Markovian systems with applications to tandem queues
- Large deviations analysis for distributed algorithms in an ergodic Markovian environment
- Parallel simulation of statistical multiplexers
- Queueing systems fed by many exponential on-off sources: an infinite-intersection approach
- Finding the conjugate of Markov fluid processes
- Rare event simulation for a slotted time M/G/s model
- Integrating probabilistic design and rare‐event simulation into the requirements engineering process for high‐reliability systems
- Large deviations for a class of recursive algorithms
- Modeling and control of data transmission
- Sur quelques algorithmes récursifs pour les probabilités numériques
- Probabilistic evaluation of control system robustness†
- A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
- Efficient large deviation estimation based on importance sampling
- Stochastic control of a class of dynamical systems via path limits
- Fast simulation of buffer overflows in tandem networks of \(GI/GI/1\) queues
- Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
- Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models
- Dynamic importance sampling for uniformly recurrent Markov chains
- Tracking randomly varying parameters: Analysis of a standard algorithm
- Path integral evaluation of ALOHA network transients
- Numerical computation of rare events via large deviation theory
- Optimal buffer allocation in tandems of last come first served queues
- Risk processes with shot noise Cox claim number process and reserve dependent premium rate
- Some Large Deviations Results in Markov Fluid Models
- Reverse-time modeling, optimal control and large deviations
- Simulation methodology - an introduction for queueing theorists
This page was built for publication: Large deviations and rare events in the study of stochastic algorithms
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3313752)
