Iterated least squares in multiperiod control

DOI10.1016/S0196-8858(82)80005-5zbMath0489.62073OpenAlexW1964494611MaRDI QIDQ1166876

Herbert Robbins, Tze Leung Lai

Publication date: 1982

Published in: Advances in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0196-8858(82)80005-5

zbMATH Keywords

recursive proceduresiterated least squaresmultiperiod control

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Sequential statistical design (62L05)

Related Items (14)

A Bayesian stochastic approximation method ⋮ Approximate policy optimization and adaptive control in regression models ⋮ Dynamic Pricing and Learning with Finite Inventories ⋮ Information in a two-stage adaptive optimal design ⋮ Unnamed Item ⋮ Unnamed Item ⋮ The treatment versus experimentation dilemma in dose finding studies ⋮ Stochastic approximation ⋮ A Bayesian learning model for estimating unknown demand parameter in revenue management ⋮ Stochastic approximation: from statistical origin to big-data, multidisciplinary applications ⋮ On Incomplete Learning and Certainty-Equivalence Control ⋮ Asymptotically efficient adaptive control in stochastic regression models ⋮ Optimal adaptive sampling for a symmetric two-state continuous time Markov chain ⋮ A conversation with Nancy Flournoy

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adaptive design and stochastic approximation
• Upper and lower functions for martingales and mixing processes
• A unified theory of regularly varying sequences
• Local convergence theorems for adaptive stochastic approximation schemes
• Consistency and asymptotic efficiency of slope estimates in stochastic approximation schemes
• Strong consistency of least-squares estimates in regression models
• Limit theorems for weighted sums and stochastic approximation processes
• The Multi-Period Control Problem Under Uncertainty
• A Stochastic Approximation Method
• Approximation Methods which Converge with Probability one
• On a Stochastic Approximation Method

This page was built for publication: Iterated least squares in multiperiod control