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On the Lock-in Probability of Stochastic Approximation
Combinatorics, Probability and Computing, 2002For a stochastic approximation-type recursion with finitely many possible limit points, we find a lower bound on the probability of converging to a prescribed point in its ‘domain of attraction’. This has implications for the lock-in phenomena in the stochastic models of increasing return economics and the sample complexity of stochastic ...
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Combining the Stochastic Counterpart and Stochastic Approximation Methods
Discrete Event Dynamic Systems, 1997Let \(\ell(v, \theta)=E_v\{L(Y,\theta)\}\) be the expected performance of a discrete event system (DES), where \(L\) is the sample performance driven by an input vector \(Y\) with a probability density function \(f(y, v)\) and \(\theta\) is a parameter of the sample performance.
Jean-Pierre Dussault +3 more
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Comments on "A Stochastic Approximation Method"
IEEE Transactions on Systems, Man, and Cybernetics, 1972The results stated in the above paper1 concerning an approved stochastic approximation method are considered. Formulas for the variances of the estimates are derived, and it is found that, in fact, the new algorithm is inferior to previously suggested ones.
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Stochastic Approximation, with Applications
2003Optimization is ubiquitous in various research and application fields. Many theoretical and practical problems are often reduced to optimizing some function L(·), i.e., finding its minimum (or maximum).
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Stochastic Approximation Approaches to the Stochastic Variational Inequality Problem
IEEE Transactions on Automatic Control, 2008Houyuan Jiang, Huifu Xu
exaly
Robust Stochastic Approximation Approach to Stochastic Programming
SIAM Journal on Optimization, 2009Arkadi Nemirovski
exaly