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

DOI10.1137/S0363012997321243MaRDI QIDQ4699149zbMATH OpenFDO

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)

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)

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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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