Multiscale stochastic approximation for parametric optimization of hidden Markov models

Bhatnagar, Shalabh ; Borkar, Vivek S. (1997) Multiscale stochastic approximation for parametric optimization of hidden Markov models Probability in the Engineering and Informational Sciences, 11 (4). pp. 509-522. ISSN 0269-9648

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Official URL: http://journals.cambridge.org/action/displayAbstra...

Related URL: http://dx.doi.org/10.1017/S0269964800005003

Abstract

A two-time scale stochastic approximation algorithm is proposed for simulation-based parametric optimization of hidden Markov models, as an alternative to the traditional approaches to "infinitesimal perturbation analysis." Its convergence is analyzed, and a queueing example is presented.

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Deposited On:06 Feb 2012 04:56
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