The Theory from Large Deviations for Random Processes and Strong Convergence of Stochastic Approximation Procedures

Leonov S (1986). The Theory from Large Deviations for Random Processes and Strong Convergence of Stochastic Approximation Procedures. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-86-057

[img]
Preview
Text
WP-86-057.pdf

Download (589kB) | Preview

Abstract

This paper deals with the application of "large deviation" theory to the analysis of stochastic approximation procedures. The approach allows to get new results in the asymptotical behaviour of stochastic procedures under very mild assumption about the "noise". The paper contains a short but illuminative survey of these results together with some new author's findings. For applications the last section seems to be interesting presenting some new ideas in multiobjective optimization.

Item Type: Monograph (IIASA Working Paper)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:56
Last Modified: 21 Jul 2016 21:23
URI: http://pure.iiasa.ac.at/2803

Actions (login required)

View Item View Item

International Institute for Applied Systems Analysis (IIASA)
Schlossplatz 1, A-2361 Laxenburg, Austria
Phone: (+43 2236) 807 0 Fax:(+43 2236) 71 313