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Asymptotic Efficiency of Perturbation-Analysis-Based Stochastic Approximation with Averaging - MaRDI portal

Asymptotic Efficiency of Perturbation-Analysis-Based Stochastic Approximation with Averaging

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Publication:4699149

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DOI10.1137/S0363012997321243zbMath1054.62576MaRDI QIDQ4699149

Chen, Hanfu, Pierre L'Ecuyer, Qian-Yu Tang

Publication date: 23 November 1999

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

stochastic approximation asymptotic efficiency perturbation analysis central limit theorems queueing theory recursive estimation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic systems and control (93E99) Queueing theory (aspects of probability theory) (60K25) Stochastic approximation (62L20)

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Trajectory averaging for stochastic approximation MCMC algorithms

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