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A difference stochastic optimization procedure with impulse perturbation

Abstract

The sufficient conditions are obtained for the convergence of the difference stochastic optimization procedure with impulse perturbations in a Markov environment under the conditions of exponential stability of the averaged system and smooth regression function of the source system. To this end, an asymptotic representation of the perturbed procedure generator is obtained.

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Correspondence to U. T. Khimka.

Additional information

Translated from Kibernetika i Sistemnyi Analiz, No. 5, September–October, 2013, pp. 145–151.

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Khimka, U.T., Chabanyuk, Y.M. A difference stochastic optimization procedure with impulse perturbation. Cybern Syst Anal 49, 768–773 (2013). https://doi.org/10.1007/s10559-013-9564-6

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Keywords

  • stochastic optimization procedure
  • Markov process
  • impulse perturbation