Abstract
The asymptotic behavior of a modified discrete stochastic optimization procedure (SOP) in a Markov environment in an averaging scheme is investigated. Additional SOP optimization parameters are introduced and are used to investigate the behavior of fluctuations on increasing time intervals. The normalization-dependent form of the limit generator is established, and a modified discrete SOP is shown to be asymptotically normal when the introduced parameters assume certain values.
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Translated from Kibernetika i Sistemnyi Analiz, No. 6, November–December, 2015, pp. 137–146.
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Gorun, P.P., Chabanyuk, Y.M. Asymptotic Behavior of a Modified Stochastic Optimization Procedure in an Averaging Scheme. Cybern Syst Anal 51, 956–964 (2015). https://doi.org/10.1007/s10559-015-9788-8
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DOI: https://doi.org/10.1007/s10559-015-9788-8