Analysis of recursive stochastic algorithms
نویسندگان
چکیده
منابع مشابه
Recursive Direct Algorithms for Multistage Stochastic Programs in Financial Engineering
Multistage stochastic programs can be seen as discrete optimal control problems with a characteristic dynamic structure induced by the scenario tree. To exploit that structure, we propose a highly eecient dynamic programming recursion for the computationally intensive task of KKT systems solution within an interior point method. Test runs on a multistage portfolio selection problem demonstrate ...
متن کاملRecursive Concurrent Stochastic Games
We study Recursive Concurrent Stochastic Games (RCSGs), extending our recent analysis of recursive simple stochastic games [14, 15] to a concurrent setting where the two players choose moves simultaneously and independently at each state. For multi-exit games, our earlier work already showed undecidability for basic questions like termination, thus we focus on the important case of single-exit ...
متن کاملRecursive Stochastic Choice∗
Observed individual choice is typically stochastic. Most of the theoretical literature on stochastic choice has focused on static models, though dynamic random utility models are commonly used in estimation, and much of modern economics emphasizes dynamic choice. This paper provides axiomatic characterizations of two sorts of recursive stochastic choice rules, where the agent makes his current ...
متن کاملTheoretical Analysis of Stochastic Search Algorithms
Theoretical analyses of stochastic search algorithms, albeit few, have always existed since these algorithms became popular. Starting in the nineties a systematic approach to analyse the performance of stochastic search heuristics has been put in place. This quickly increasing basis of results allows, nowadays, the analysis of sophisticated algorithms such as populationbased evolutionary algori...
متن کاملConvergence Analysis of Gradient Descent Stochastic Algorithms
This paper proves convergence of a sample-path based stochastic gradient-descent algorithm for optimizing expected-value performance measures in discrete event systems. The algorithm uses increasing precision at successive iterations, and it moves against the direction of a generalized gradient of the computed sample performance function. Two convergence results are established: one, for the ca...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: IEEE Transactions on Automatic Control
سال: 1977
ISSN: 0018-9286
DOI: 10.1109/tac.1977.1101561