Asymptotic efficiency of perturbation-analysis-based stochastic approximation with averaging
文献类型：期刊论文
| 作者 | Tang, QY; L'Ecuyer, P; Chen, HF |
| 刊名 | SIAM JOURNAL ON CONTROL AND OPTIMIZATION
 |
| 出版日期 | 1999 |
| 卷号 | 37期号:6页码:1822-1847 |
| 关键词 | perturbation analysis asymptotic efficiency central limit theorems stochastic approximation recursive estimation queueing theory |
| ISSN号 | 0363-0129 |
| 英文摘要 | Central limit theorems are obtained for the perturbation analysis Robbins-Monro single run (PARMSR) algorithm updated either after every regenerative cycle or after every fixed-length observation period, and with averaging of the iterates, for one-dependent regenerative processes. When the convergence to the optimizer is expressed in terms of the total observation time of the system (or the total computing budget in the case of a simulation), the convergence rate and the limit covariance matrix turn out to be the same for all updating schemes and are optimal within the class of stochastic approximation-algorithms under certain assumptions. A bound on the strong convergence rate of the usual PARMSR algorithm updated after every fixed-length observation period is established using a limit theorem on double array martingales. This is the key step for obtaining central limit theorems for the algorithms with averaging and has interest in its own right. |
| WOS研究方向 | Automation & Control Systems ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000083607900010 |
| 出版者 | SIAM PUBLICATIONS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/14477]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Tang, QY |
| 作者单位 | 1.Univ Montreal, Dept Informat & Rech Operat, Montreal, PQ H3C 3J7, Canada 2.Acad Sinica, Inst Syst Sci, Lab Syst & Control, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Tang, QY,L'Ecuyer, P,Chen, HF. Asymptotic efficiency of perturbation-analysis-based stochastic approximation with averaging[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,1999,37(6):1822-1847. |
| APA | Tang, QY,L'Ecuyer, P,&Chen, HF.(1999).Asymptotic efficiency of perturbation-analysis-based stochastic approximation with averaging.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,37(6),1822-1847. |
| MLA | Tang, QY,et al."Asymptotic efficiency of perturbation-analysis-based stochastic approximation with averaging".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 37.6(1999):1822-1847. |
入库方式： OAI收割
来源：数学与系统科学研究院
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