Almost sure convergence of the BMP scheme with resetting

Gerencsér, László and Mátyás, Zalán (2007) Almost sure convergence of the BMP scheme with resetting. In: ECC 2007. Proceedings of the European control conference. Kos, 2007..

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We consider stochastic approximation algorithms with Markovian dynamics as introduced in Benveniste, Métivier and Priouret in their 1990 book. Using a resetting mechanism with a fairly arbitrary truncation domain, the algorithm is shown to converge to the unique stationary point of the associated ODE with probability one. A self-contained outline to the basic technical aspects of the BMP theory will be also given.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: stochastic systems; Markovian dynamics; recursive estimation; resetting.
Subjects: Q Science > QA Mathematics and Computer Science > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány
Depositing User: Eszter Nagy
Date Deposited: 11 Dec 2012 15:29
Last Modified: 11 Dec 2012 15:29

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