期刊
MATHEMATICS OF OPERATIONS RESEARCH
卷 35, 期 3, 页码 624-640出版社
INFORMS
DOI: 10.1287/moor.1100.0455
关键词
stochastic approximations; set-valued dynamical systems; attractor; game theory; Markovian fictitious play
资金
- Swiss National Science Foundation [200021-103625/1]
A successful method to describe the asymptotic behavior of a discrete time stochastic process governed by some recursive formula is to relate it to the limit sets of a well-chosen mean differential equation. Under an attainability condition, Benaim proved that convergence to a given attractor of the flow induced by this dynamical system occurs with positive probability for a class of Robbins Monro algorithms. Benaim, Hofbauer, and Sorin generalised this approach for stochastic approximation algorithms whose average behavior is related to a differential inclusion instead. We pursue the analogy by extending to this setting the result of convergence with positive probability to an attractor.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据