Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization

SIAM Journal on Optimization ◽

10.1137/s1052623403423709 ◽

2004 ◽

Vol 14 (4) ◽

pp. 1187-1215 ◽

Author(s):

G. Yin ◽

Vikram Krishnamurthy ◽

Cristina Ion

Keyword(s):

Approximation Algorithms ◽

Stochastic Optimization ◽

Stochastic Approximation ◽

Regime Switching ◽

Discrete Stochastic Optimization

Download Full-text

Infinite dimensional regime-switching stochastic approximation algorithms

Scientia Sinica Mathematica ◽

10.1360/n012015-00366 ◽

2016 ◽

Keyword(s):

Approximation Algorithms ◽

Stochastic Approximation ◽

Regime Switching ◽

Infinite Dimensional

Download Full-text

Stochastic Approximation Algorithms for Parameter Estimation in Option Pricing with Regime Switching

Stochastic Analysis and Applications ◽

10.1080/07362990701567322 ◽

2007 ◽

Vol 25 (6) ◽

pp. 1243-1261 ◽

Author(s):

G. Yin ◽

Q. Zhang ◽

C. Zhuang

Keyword(s):

Parameter Estimation ◽

Approximation Algorithms ◽

Option Pricing ◽

Stochastic Approximation ◽

Regime Switching

Download Full-text

Asynchronous Stochastic Approximation Algorithms for Networked Systems: Regime-Switching Topologies and Multiscale Structure

Multiscale Modeling and Simulation ◽

10.1137/120871614 ◽

2013 ◽

Vol 11 (3) ◽

pp. 813-839 ◽

Author(s):

G. Yin ◽

Quan Yuan ◽

Le Yi Wang

Keyword(s):

Approximation Algorithms ◽

Stochastic Approximation ◽

Regime Switching ◽

Networked Systems ◽

Switching Topologies ◽

Multiscale Structure

Download Full-text

Regime switching stochastic approximation algorithms with switched ODE limit

42nd IEEE International Conference on Decision and Control (IEEE Cat. No.03CH37475) ◽

10.1109/cdc.2003.1272681 ◽

2004 ◽

Author(s):

G. Yin ◽

V. Krishnamurthy ◽

C. Jon

Keyword(s):

Approximation Algorithms ◽

Stochastic Approximation ◽

Regime Switching

Download Full-text

NN-approach to design of the optimal stochastic approximation algorithms

International Conference on Control '94 ◽

10.1049/cp:19940173 ◽

1994 ◽

Author(s):

A.V. Nazin

Keyword(s):

Approximation Algorithms ◽

Stochastic Approximation

Download Full-text

A Global Search Method for Discrete Stochastic Optimization

SIAM Journal on Optimization ◽

10.1137/0806027 ◽

1996 ◽

Vol 6 (2) ◽

pp. 513-530 ◽

Author(s):

Sigrún Andradóttir

Keyword(s):

Stochastic Optimization ◽

Global Search ◽

Search Method ◽

Discrete Stochastic Optimization

Download Full-text

Adaptive Search Algorithms for Discrete Stochastic Optimization: A Smooth Best-Response Approach

IEEE Transactions on Automatic Control ◽

10.1109/tac.2016.2539225 ◽

2017 ◽

Vol 62 (1) ◽

pp. 161-176 ◽

Author(s):

Omid Namvar Gharehshiran ◽

Vikram Krishnamurthy ◽

George Yin

Keyword(s):

Stochastic Optimization ◽

Search Algorithms ◽

Adaptive Search ◽

Best Response ◽

Discrete Stochastic Optimization

Download Full-text

Necessary and sufficient conditions for convergence of stochastic approximation algorithms under arbitrary disturbances

Proceedings of 1995 34th IEEE Conference on Decision and Control ◽

10.1109/cdc.1995.479197 ◽

2002 ◽

Author(s):

S.R. Kulkarni ◽

C.S. Horn

Keyword(s):

Approximation Algorithms ◽

Stochastic Approximation ◽

Sufficient Conditions ◽

Necessary And Sufficient Conditions ◽

Sufficient Conditions For Convergence ◽

Necessary And Sufficient

Download Full-text

Linear and Nonlinear Stochastic Approximation Algorithms for Learning Systems

Pattern Recognition and Machine Learning ◽

10.1007/978-1-4615-7566-5_2 ◽

1971 ◽

pp. 18-28

Author(s):

Y. T. Chien

Keyword(s):

Approximation Algorithms ◽

Stochastic Approximation ◽

Learning Systems ◽

Linear And Nonlinear

Download Full-text

Randomized Difference Two-Timescale Simultaneous Perturbation Stochastic Approximation Algorithms for Simulation Optimization of Hidden Markov Models

10.21236/ada637176 ◽

2000 ◽

Author(s):

Shalabh Bhatnagar ◽

Michael C. Fu ◽

Steven I. Marcus ◽

Shashank Bhatnagar

Keyword(s):

Approximation Algorithms ◽

Hidden Markov Models ◽

Stochastic Approximation ◽

Markov Models ◽

Hidden Markov ◽

Simulation Optimization ◽

Simultaneous Perturbation Stochastic Approximation

Download Full-text