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Stochastic approximation with ‘controlled Markov’ noise |
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| Authors: | Vivek S Borkar |
| Affiliation: | School of Technology and Computer Science, Tata Institute of Fundamental Research, Homi Bhabha Road, Mumbai 400005, India |
| Abstract: | Stochastic approximation algorithms with additional noise that can be modelled as a controlled Markov process are analyzed and shown to track the solutions of a differential inclusion defined in terms of the ergodic occupation measures associated with the controlled Markov process. |
| Keywords: | Stochastic approximation Controlled Markov noise Differential inclusions Ergodic occupation measures Invariant sets |
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