A projected stochastic approximation algorithm

It is noted that classical stochastic approximation algorithms often diverge because of boundedness problems. The standard approach to preventing this is to project the sequence generated by the algorithm onto a predetermined compact set K. However, in the typical application, the approximate locati...

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Bibliographische Detailangaben

1. Verfasser:	Andradottir, S.
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Algorithm design and analysis Analytical models Approximation algorithms Convergence Finite difference methods H infinity control Industrial engineering Performance analysis Stochastic processes Stochastic systems
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