Stochastic recursive algorithms for optimization. Simultaneous perturbation methods

DOI10.1007/978-1-4471-4285-0zbMath1260.90002OpenAlexW2493209382MaRDI QIDQ441138

H. L. Prasad, L. A. Prashanth, Shalabh Bhatnagar

Publication date: 20 August 2012

Published in: Lecture Notes in Control and Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4471-4285-0

zbMATH Keywords

Markov decision processgradient schemesalgorithms of Robbins-Monro and Kiefer-Wolfowitzstochastic recursive algorithms

Mathematics Subject Classification ID

Quadratic programming (90C20) Stochastic scheduling theory in operations research (90B36) Markov and semi-Markov decision processes (90C40) Traffic problems in operations research (90B20) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

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