Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization
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(37)- How does a stochastic optimization/approximation algorithm adapt to a randomly evolving optimum/root with jump Markov sample paths
- Tracking and identification of regime-switching systems using binary sensors
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- Existence, uniqueness and exponential ergodicity under Lyapunov conditions for McKean-Vlasov SDEs with Markovian switching
- Commuting birth-and-death processes
- Asymptotic properties of consensus-type algorithms for networked systems with regime-switching topologies
- On laws of large numbers for systems with mean-field interactions and Markovian switching
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- Stability of regime-switching diffusions
- Regularity and recurrence of switching diffusions
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- Persistent tracking and identification of regime-switching systems with structural uncertainties: unmodeled dynamics, observation bias, and nonlinear model mismatch
- Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems
- A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
- Asymptotic properties of Markov-modulated random sequences with fast and slow timescales
- Weak convergence of Markov-modulated random sequences
- Information diffusion in social sensing
- Stability of random-switching systems of differential equations
- System identification: regime switching, unmodeled dynamics, and binary sensors
- Asymptotic properties of hybrid random processes modulated by Markov chains
- Switching diffusions with mean-field interactions: limit results, maximum principle, and non-Markov systems
- Langevin dynamics for adaptive inverse reinforcement learning of stochastic gradient algorithms
- Infinite dimensional regime-switching stochastic approximation algorithms
- A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
- Asymptotic optimality for consensus-type stochastic approximation algorithms using iterate averaging
- Invariant density, Lyapunov exponent, and almost sure stability of Markovian-regime-switching linear systems
- Asymptotically optimal dividend policy for regime-switching compound Poisson models
- Change-point monitoring for online stochastic approximations
- Sequences of random matrices modulated by a discrete-time Markov chain*
- Random periodic solutions for a class of hybrid stochastic differential equations
- Iterative weak approximation and hard bounds for switching diffusion
- Optimal control of the risk process in a regime-switching environment
- An approach for regime-switching stochastic control problems with memory and terminal conditions
- Networks of biosensors: decentralized activation and social learning
- Controllability and adaptation of linear time-invariant systems under irregular and Markovian sampling
- Balanced realizations of regime-switching linear systems
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