Stochastic approximation with long range dependent and heavy tailed noise

DOI10.1007/S11134-012-9283-0MaRDI QIDQ383264zbMATH OpenOpenAlexFDO

Authors Venkat Anantharam, Vivek Borkar

Publication date 25 November 2013

Published in Queueing Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11134-012-9283-0

zbMATH Keywords

convergence in \(\xi\)th meanheavy tailed noiselong range dependenceO.d.e. limitstochastic approximation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic approximation (62L20) Stochastic learning and adaptive control (93E35)

Recommendations

• An Invariant Measure Approach to the Convergence of Stochastic Approximations with State Dependent Noise
• Stochastic approximation with `controlled Markov' noise
• Convergence of stochastic approximation procedures with dependent noise
• Gradient procedures for stochastic approximation with dependent noise and their asymptotic behaviour
• scientific article; zbMATH DE number 1043533

Cites work

• A Dynamical System Approach to Stochastic Approximations
• Asymptotic stability equals exponential stability, and ISS equals finite energy gain -- if you twist your eyes.
• Dynamic Cesaro-Wardrop equilibration in networks
• scientific article; zbMATH DE number 5348356 (Why is no real title available?)
• scientific article; zbMATH DE number 4043678 (Why is no real title available?)
• scientific article; zbMATH DE number 107615 (Why is no real title available?)
• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• scientific article; zbMATH DE number 1972910 (Why is no real title available?)
• Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
• On maximal inequalities for stable stochastic integrals
• Smoothing Derivatives of Functions and Applications
• Some Examples of Stochastic Approximation in Communications
• Stochastic Approximation for Nonexpansive Maps: Application to Q-Learning Algorithms
• The Impact of Stochastic Noisy Feedback on Distributed Network Utility Maximization
• The O.D.E. Method for Convergence of Stochastic Approximation and Reinforcement Learning

Cited in

(7)

• Algorithmes stochastiques à bruit dépendant (Dependent noise for stochastic algorithms).
• Non-asymptotic error bounds for constant stepsize stochastic approximation for tracking mobile agents
• Stochastic approximation with `controlled Markov' noise
• A stochastic Kaczmarz algorithm for network tomography
• Probabilistic bisection converges almost as quickly as stochastic approximation
• scientific article; zbMATH DE number 2188835 (Why is no real title available?)
• Stochastic approximation and reinforcement learning: the interface and a little beyond

This page was built for publication: Stochastic approximation with long range dependent and heavy tailed noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q383264)