Change-point monitoring for online stochastic approximations

DOI10.1016/J.AUTOMATICA.2010.06.036MaRDI QIDQ608474zbMATH OpenOpenAlexFDO

Authors Kim Levy, Felisa J. Vázquez-Abad

Publication date 25 November 2010

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2010.06.036

zbMATH Keywords

stochastic approximationweak convergencechange-point monitoringnon-stationary environmentonline tracking

Mathematics Subject Classification ID

Stochastic programming (90C15) Variable structure systems (93B12) Stochastic systems in control theory (general) (93E03)

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Cites work

• scientific article; zbMATH DE number 48727 (Why is no real title available?)
• scientific article; zbMATH DE number 3638844 (Why is no real title available?)
• Adaptive stepsize selection for tracking in a regime-switching environment
• Analysis of adaptive step-size SA algorithms for parameter tracking
• CONTINUOUS INSPECTION SCHEMES
• Change‐point monitoring in linear models
• Convergence rate of linear two-time-scale stochastic approximation.
• Detecting change in a time-series (Corresp.)
• Detection of abrupt changes in signals and dynamical systems. (Proceedings of a Conference on Detection of Abrupt Changes in Signals and Dynamical Systems, Paris, March 21-22, 1984)
• Monitoring Structural Change
• Monitoring changes in linear models
• Optimum Character of the Sequential Probability Ratio Test
• Procedures for Reacting to a Change in Distribution
• Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization
• Stochastic approximation algorithms for parallel and distributed processing

Cited in

(3)

• Instruction-throughput regulation in computer processors with data-center applications
• Adaptive stepsize selection for tracking in a regime-switching environment
• Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization

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