A mirror descent algorithm for minimization of mean Poisson flow driven losses

DOI10.1134/S0005117914060022MaRDI QIDQ891204zbMATH OpenOpenAlexFDO

Authors A. A. Tremba, Alexander Nazin, Svetlana Anulova

Publication date 16 November 2015

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117914060022

zbMATH Keywords

mirror descent algorithmqueueing modeljump times of a Poisson processPoisson flow driven lossesstochastically perturbed sub-gradient

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20)

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Cites work

• Randomized algorithm to determine the eigenvector of a stochastic matrix with application to the PageRank problem
• Recursive aggregation of estimators by the mirror descent algorithm with averaging
• Robust Stochastic Approximation Approach to Stochastic Programming
• The ordered subsets mirror descent optimization method with applications to tomography

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