Asymptotic Efficiency of Perturbation-Analysis-Based Stochastic Approximation with Averaging

DOI10.1137/S0363012997321243zbMATH Open1054.62576MaRDI QIDQ4699149FDOQ4699149

Authors: Pierre L'Ecuyer, Hanfu Chen, Qian-Yu Tang 

Publication date: 23 November 1999

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

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• scientific article; zbMATH DE number 952465

zbMATH Keywords

asymptotic efficiencyrecursive estimationstochastic approximationqueueing theoryperturbation analysiscentral limit theorems

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic approximation (62L20) Stochastic systems and control (93E99) Queueing theory (aspects of probability theory) (60K25)

Cited In (3)

• General multilevel adaptations for stochastic approximation algorithms. II: CLTs
• An overview of stochastic approximation Monte Carlo
• Trajectory averaging for stochastic approximation MCMC algorithms

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