Stochastic recursive inclusion in two timescales with an application to the Lagrangian dual problem

DOI10.1080/17442508.2016.1215450zbMath1366.62160arXiv1502.01956OpenAlexW3099504795MaRDI QIDQ2833720

Shalabh Bhatnagar, Arunselvan Ramaswamy

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.01956

zbMATH Keywords

differential inclusionsconstrained optimizationset-valued dynamical systemsLagrangian dualoptimization and controlstochastic approximation algorithmstwo timescales

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Ordinary differential inclusions (34A60) Stochastic approximation (62L20) Stochastic learning and adaptive control (93E35) Stochastic systems in control theory (general) (93E03)

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