Rate of Convergence for Constrained Stochastic Approximation Algorithms

DOI10.1137/S0363012999361639MaRDI QIDQ4537775zbMATH OpenOpenAlexFDO

Authors Robert T. Buche, Harold J. Kushner

Publication date 23 June 2002

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

Full work available at URL https://doi.org/10.1137/s0363012999361639

zbMATH Keywords

constrained stochastic approximationrate of convergenceweak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Stochastic approximation (62L20) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

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• Optimizing adaptive importance sampling by stochastic approximation
• Noise conditions for prespecified convergence rates of stochastic approximation algorithms
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