Asymptotic behavior of a modified stochastic optimization procedure in an averaging scheme

DOI10.1007/S10559-015-9788-8zbMath1334.90091OpenAlexW2226470538MaRDI QIDQ269152

P. P. Gorun, Yaroslav M. Chabanyuk

Publication date: 18 April 2016

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-015-9788-8

zbMATH Keywords

stochastic optimizationasymptotic behaviorMarkov processaveraging scheme

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

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• A weak convergence theorem with application to the Robbins-Monro process
• Randomized algorithms for stochastic approximation under arbitrary disturbances
• Fluctuation of stochastic systems with average equilibrium point
• Diffusion Approximation with Equilibrium for Evolutionary Systems Switched by Semi-Markov Processes
• On Asymptotic Normality in Stochastic Approximation

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