Two Time-Scale Stochastic Approximation for Constrained Stochastic Optimization and Constrained Markov Decision Problems

Proceedings of the American Control Conference

Volumn 6, Issue , 2003, Pages 4736-4741

  Tadić, Vladislav B ^a   Doucet, Arnaud ^b   Singh, Sumeetpal ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; CONSTRAINT THEORY; DECISION THEORY; ITERATIVE METHODS; MARKOV PROCESSES;

CONVEX OPTIMIZATION;

STOCHASTIC PROGRAMMING;

EID: 0142199953     PISSN: 07431619     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (9)

1. E. Altman, Constrained Markov Decision Processes, Chapman & Hall, 1999.
2. A. Benveniste, M. Metivier, and P. Priouret, Adaptive Algorithms and Stochastic Approximation, Springer Verlag, 1990.
3. D. P. Bertsekas, Nonlinear Programming, Athena Scientific, 1999, 2nd edition.
4. V. S. Borkar, "Stochastic approximation with two time scales," Systems and Control Letters, vol. 29, pp. 291-294, 1997.
5. H. J. Kushner and D. S. Clark, Stochastic Approximation Methods for Constrained and Unconstrained Systems, Springer-Verlag, 1978.
6. H. J. Kushner and G. G. Yin, Stochastic Approximation Algorithms and Applications, Springer Verlag, 1997.
7. R. E. O'Malley Jr, Singular Perturbations Methods for Ordinary Differential Equations, Springer Verlag, 1991.
8. G. C. Pflug, Optimization of Stochastic Models: The Interface between Simulation and Optimization, Kluwer Academic, 1996.
9. V. B. Tadić, A. Doucet, S. Singh, "Two Time-Scale Stochastic Approximation Algorithms for Constrained Stochastic Optimization and Constrained Markov Decision Problems," to be submitted.