Asymptotic Behavior of Constrained Stochastic Approximations via the Theory of Large Deviations.

Abstract

This document describes a projected recursive (or stochastic approximation) algorithm which arises frequently in applications in control and communications theory. There is a sizeable literature concerning its asymptotic properties as epsilon approaching limit of o with epsilon sub n approaching limit of t or epsilon n approaching infinity. Keywords: Convergence; Asymptotic normality.

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Document Details

Document Type
Technical Report
Publication Date
Jul 01, 1985
Accession Number
ADA162156

Entities

People

  • Harold J. Kushner
  • Paul Dupuis

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Algebra
  • Algorithms
  • Applied Mathematics
  • Asymptotic Normality
  • Contracts
  • Convergence
  • Inequalities
  • Intervals
  • Markov Processes
  • Mathematics
  • Military Research
  • Probability
  • Random Variables
  • Security
  • Sequences
  • Theorems

Readers

  • Approximation Theory.
  • Operations Research
  • Systems Analysis and Design