Regime switching stochastic approximation algorithms with application to adaptive discrete stochastic optimization

SIAM Journal on Optimization

Volumn 14, Issue 4, 2004, Pages 1187-1215

  Yin, G ^a   Krishnamurthy, Vikram ^b,c   Ion, Cristina ^a  

^a WAYNE STATE UNIVERSITY   (United States)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^c UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Markovian parameter; Regime switching model; Regime switching ODEs; Stochastic approximation; Switching diffusion; Time varying parameter; Tracking

Indexed keywords

MARKOVIAN PARAMETERS; REGIME SWITCHING MODEL; REGIME SWITCHING ODE; STOCHASTIC APPROXIMATION; SWITCHING DIFFUSION; TIME-VARYING PARAMETERS; TRACKING;

ADAPTIVE CONTROL SYSTEMS; ALGORITHMS; APPROXIMATION THEORY; CODE DIVISION MULTIPLE ACCESS; MARKOV PROCESSES; MONTE CARLO METHODS; OPTIMIZATION; PARAMETER ESTIMATION; SWITCHING THEORY; TIME VARYING SYSTEMS; WIRELESS TELECOMMUNICATION SYSTEMS;

STOCHASTIC CONTROL SYSTEMS;

EID: 3042834144     PISSN: 10526234     EISSN: None     Source Type: Journal    
DOI: 10.1137/S1052623403423709     Document Type: Article

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