Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization

From MaRDI portal
Publication:4651989


DOI10.1137/S1052623403423709zbMath1112.62330MaRDI QIDQ4651989

Vikram Krishnamurthy, C. Ion, G. George Yin

Publication date: 23 February 2005

Published in: SIAM Journal on Optimization (Search for Journal in Brave)


60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

62L20: Stochastic approximation


Related Items

Asymptotic optimality for consensus-type stochastic approximation algorithms using iterate averaging, System identification: regime switching, unmodeled dynamics, and binary sensors, Asymptotic properties of hybrid random processes modulated by Markov chains, Invariant density, Lyapunov exponent, and almost sure stability of Markovian-regime-switching linear systems, Asymptotically optimal dividend policy for regime-switching compound Poisson models, Change-point monitoring for online stochastic approximations, Optimal control of the risk process in a regime-switching environment, Networks of biosensors: decentralized activation and social learning, Balanced realizations of regime-switching linear systems, How does a stochastic optimization/approximation algorithm adapt to a randomly evolving optimum/root with jump Markov sample paths, Tracking and identification of regime-switching systems using binary sensors, Commuting birth-and-death processes, Asymptotic properties of consensus-type algorithms for networked systems with regime-switching topologies, Stability of regime-switching diffusions, Regularity and recurrence of switching diffusions, Adaptive stepsize selection for tracking in a regime-switching environment, Persistent tracking and identification of regime-switching systems with structural uncertainties: unmodeled dynamics, observation bias, and nonlinear model mismatch, Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems, A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models, Asymptotic properties of Markov-modulated random sequences with fast and slow timescales, Weak convergence of Markov-modulated random sequences, Stability of random-switching systems of differential equations