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

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/2857 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/2857 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/2857 archive 351 disk0/00/00/28/03 2016-01-15 01:56:56 2021-08-27 17:12:38 2016-01-15 01:56:56 monograph show 2 Leonov S. The Theory from Large Deviations for Random Processes and Strong Convergence of Stochastic Approximation Procedures pub iis_met prog_sds 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. 1986-10 published WP-86-057 WP-86-057 10 public working_paper IIASA, Laxenburg, Austria 17 FALSE info:eu-repo/semantics/book