Change-point monitoring for online stochastic approximations

DOI10.1016/J.AUTOMATICA.2010.06.036zbMATH Open1204.93110OpenAlexW2022552163MaRDI QIDQ608474FDOQ608474

Felisa J. Vázquez-Abad, Kim Levy

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

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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)

Cites Work

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• Monitoring changes in linear models
• Change‐point monitoring in linear models
• Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization
• Detecting change in a time-series (Corresp.)
• Stochastic approximation algorithms for parallel and distributed processing
• Analysis of adaptive step-size SA algorithms for parameter tracking
• Convergence rate of linear two-time-scale stochastic approximation.
• 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)
• Adaptive stepsize selection for tracking in a regime-switching environment

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