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Stochastic Approximation Methods For Systems Over An Infinite Horizon, Harold J. Kushner, Felisa Vázquez-Abad

Publications and Research

The paper develops efficient and general stochastic approximation (SA) methods for improving the operation of parametrized systems of either the continuous- or discrete-event dynamical systems types and which are of interest over a long time period. For example, one might wish to optimize or improve the stationary (or average cost per unit time) performance by adjusting the systems parameters. The number of applications and the associated literature are increasing at a rapid rate. This is partly due to the increasing activity in computing pathwise derivatives and adapting them to the average-cost problem. Although the original motivation and the examples come …