Rate of convergence for constrained stochastic approximation algorithms

SIAM Journal on Control and Optimization

Volumn 40, Issue 4, 2002, Pages 1011-1041

  Buche, Robert ^a   Kushner, Harold J ^a  

^a BROWN UNIVERSITY   (United States)

Author keywords

Constrained stochastic approximation; Rate of convergence; Recursive algorithms; Stochastic approximation; Weak convergence

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; BOUNDARY CONDITIONS; COMPUTER SIMULATION; CONSTRAINT THEORY; ITERATIVE METHODS; LAGRANGE MULTIPLIERS; MATRIX ALGEBRA; OPTIMIZATION; ORDINARY DIFFERENTIAL EQUATIONS; RANDOM PROCESSES; THEOREM PROVING;

CONSTRAINED FUNCTION MINIMIZATION; CONSTRAINED STOCHASTIC APPROXIMATION; RATE OF CONVERGENCE; RECURSIVE ALGORITHMS; WEAK CONVERGENCE;

CONVERGENCE OF NUMERICAL METHODS;

EID: 0036334497     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012999361639     Document Type: Article

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