Large deviations and rare events in the study of stochastic algorithms

DOI10.1109/TAC.1983.1103345MaRDI QIDQ3313752zbMATH OpenOpenAlexFDO

Authors Marie Cottrell, Jean-Claude Fort, Gérard Malgouyres

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

zbMATH Keywords

large deviationsasymptotic behavior of the exit timesatellite type communication algorithms

Mathematics Subject Classification ID

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)

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

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
• Rare event simulation for a slotted time M/G/s model
• Finding the conjugate of Markov fluid processes
• Large deviations for a class of recursive algorithms
• Sur quelques algorithmes récursifs pour les probabilités numériques
• Modeling and control of data transmission
• 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
• Integrating probabilistic design and rare-event simulation into the requirements engineering process for high-reliability systems
• 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)