Stochastic approximation methods for constrained and unconstrained systems
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic approximation (62L20) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Abstract approximation theory (approximation in normed linear spaces and other abstract spaces) (41A65) Estimation and detection in stochastic control theory (93E10)
Cited in
(only showing first 100 items - show all)- Sensitivity analysis for Monte Carlo simulation of option pricing
- Multiclass classification and gene selection with a stochastic algorithm
- Inventory models under uncertainty: An adaptive approach
- On convergence of the stochastic subgradient method with on-line stepsize rules
- An algorithm with randomly varying truncation for adaptive beam-formers
- On stochastic extremum seeking via adaptive perturbation-demodulation loop
- Dynamics of Morse-Smale urn processes
- An analysis of convergence for a learning version of the subspace method
- Convergence proof of matrix dynamics for online linear discriminant analysis
- Asymptotic normality of the continuous-time stochastic approximation algorithm
- A case study of an adaptive load balancing algorithm
- Adaptive algorithms for first principal eigenvector computation
- Stochastic approximation on Riemannian manifolds
- Convergence of a stochastic approximation algorithm for the GI/G/1 queue using infinitesimal perturbation analysis
- Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size
- Weak convergence of Markov chain sampling methods and annealing algorithms to diffusions
- Topological orbital equivalence with asymptotic phase for a two time- scales discrete-time system
- A stopping rule for the Robbins-Monro method
- Stochastic modified equations and dynamics of stochastic gradient algorithms. I: Mathematical foundations
- Minimizing noisy functionals in Hilbert space: An extension of the Kiefer-Wolfowitz procedure
- Online sufficient dimension reduction through sliced inverse regression
- Convergence theorems for the Kohonen feature mapping algorithms with VLRPs
- Rates of convergence of semi-stochastic approximation procedures for solving stochastic optimization problems
- Stochastic approximation with dependent noise
- A stochastic approximation from dependent observations
- Sufficient and necessary condition for the convergence of stochastic approximation algorithms
- Adaptive recursive kernel conditional density estimators under censoring data
- A simulation optimization method that considers uncertainty and multiple performance measures
- Learning in linear models with expectational leads
- Annealing adaptive search, cross-entropy, and stochastic approximation in global optimization
- A stochastic approximation algorithm to compute bid prices for joint capacity allocation and overbooking over an airline network
- On the stability and convergence of a self-tuning controller
- The stochastic approximation method for the estimation of a multivariate probability density
- Nonlinear randomized urn models: a stochastic approximation viewpoint
- Asymptotic behavior of self-organizing maps with nonuniform stimuli distribution
- On W.P.1 Convergence of A Parallel Stochastic Approximation Algorithm
- Convergence of least squares learning in self-referential discontinuous stochastic models.
- Convergent multiple-timescales reinforcement learning algorithms in normal form games
- Scheduling policies using marked/phantom slot algorithms
- A combined direction stochastic approximation algorithm
- Convergence of stochastic flows connected with stochastic ordinary differential equations
- Optimization of discrete variable stochastic systems by computer simulation
- A combined algorithm for identification and approximation
- Strong consistency of recursive identification by no use of persistent excitation condition
- Weighted averaging and stochastic approximation
- Convergence of algorithms used for principal component analysis
- Online surrogate problem methodology for stochastic discrete resource allocation problem.
- Generalized surrogate problem methodology for online stochastic discrete optimization
- Convergence of stochastic approximation coupled with perturbation analysis in a class of manufacturing flow control models
- Optimal learning for nonlinear parametric belief models over multidimensional continuous spaces
- Continuous-time stochastic approximation: Convergence and asymptotic efficiency
- Gradient procedures for stochastic approximation with dependent noise and their asymptotic behaviour
- Théorèmes de convergence presque sure pour une classe d'algorithmes stochastiques à pas decroissant
- Approximation of the initial reserve for known ruin probabilities
- Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty
- Feasible direction methods for stochastic programming problems
- Almost sure convergence of randomized urn models with application to elephant random walk
- Adaptive filters with constraints and correlated non-stationary signals
- STOCK LIQUIDATION VIA STOCHASTIC APPROXIMATION USING NASDAQ DAILY AND INTRA‐DAY DATA
- Convergence of least squares learning mechanisms in self-referential linear stochastic models
- IPA for continuous stochastic marked graphs
- Optimisation of a single-component maintenance system: A smoothed perturbation analysis approach
- Almost sure convergence of Titterington's recursive estimator for mixture models
- Multiscale Stochastic Approximation for Parametric Optimization of Hidden Markov Models
- Stochastic programming in water management: A case study and a comparison of solution techniques
- Weak convergence rates for stochastic approximation with application to multiple targets and simulated annealing
- Convergence in models with bounded expected relative hazard rates
- Newton-based stochastic optimization using \(q\)-Gaussian smoothed functional algorithms
- Optimal posting price of limit orders: learning by trading
- scientific article; zbMATH DE number 3833142 (Why is no real title available?)
- Sur quelques algorithmes récursifs pour les probabilités numériques
- A companion for the Kiefer-Wolfowitz-Blum stochastic approximation algorithm
- Inexact subgradient methods with applications in stochastic programming
- Iterated filtering
- Theory and applications of adaptive control - a survey
- Two approaches to optimal routing and admission control in systems with real-time traffic
- Learning aspiration in repeated games
- Stochastic approximation with nondecaying gain: Error bound and data‐driven gain‐tuning
- Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds
- Optimal step sizes in semi-stochastic approximation procedures. II
- Finite-temperature coarse-graining of one-dimensional models: mathematical analysis and computational approaches
- Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces
- Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions
- Stochastic forward-backward splitting for monotone inclusions
- A constrained optimization perspective on actor-critic algorithms and application to network routing
- Stochastic quasigradient methods for optimization of discrete event systems
- A second-order iterated smoothing algorithm
- A partial history of the early development of continuous-time nonlinear stochastic systems theory
- Constrained optimization via stochastic approximation with a simultaneous perturbation gradient approximation
- Simulated annealing type algorithms for multivariate optimization
- Nonparametric adaptive learning with feedback
- On stochastic approximation of the eigenvectors and eigenvalues of the expectation of a random matrix
- A new hybrid stochastic approximation algorithm
- Stochastic algorithm for Bayesian mixture effect template estimation
- Stochastic approximation algorithms with constant step size whose average is cooperative
- Extremum seeking under stochastic noise and applications to mobile sensors
- Stochastic gradient algorithm with random truncations
- Almost sure convergence of randomly truncated stochastic algorithms under verifiable condi\-tions
- Stochastic fictitious play with continuous action sets
- Abstract stochastic approximations and applications
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