Asymptotic behavior of constrained stochastic approximations via the theory of large deviations

Author:

Dupuis Paul,Kushner Harold J.

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability,Analysis

Reference13 articles.

1. Kushner, H.J., Clark, D.S.: Stochastic approximation methods for constrained and unconstrained systems. Berlin Heidelberg New York: Springer 1978

2. Kushner, H.J., Shwartz, A.: An invariant measure approach to the convergence of stochastic approximations with state-dependent noise. SIAM J. on Control and Optim. 22, 13–27 (1984)

3. Ermoliov, Yu.: Methods of stochastic programming (in Russian). Moscow: Nauka 1976

4. Kushner, H.J., Schwarz, A.: Stochastic approximation in Hilbert space: Identification and optimization of linear continuous parameter systems. To appear in SIAM J. on Control and Optimization

5. Pflug, G.: Stochastic minimization with constant step-sizes. To appear in SIAM J. on Control and Optimization

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