Anantharam, V. ; Borkar, V. S. (2017) A Variational Formula for Risk-Sensitive Reward SIAM Journal on Control and Optimization, 55 (2). pp. 961-988. ISSN 0363-0129
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Official URL: http://doi.org/10.1137/151002630
Related URL: http://dx.doi.org/10.1137/151002630
Abstract
We propose an iterative and distributed Markov Chain Monte Carlo scheme for estimation of effective edge conductances in a graph. A sample complexity analysis is provided. The theoretical guarantees on the performance of the proposed algorithm are weak compared to those of existing algorithms. But numerical experiments suggest that the algorithm might still be effective while offering the advantages of low per iterate computation and memory requirements.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Society for Industrial & Applied Mathematics. |
| ID Code: | 135187 |
| Deposited On: | 20 Jan 2023 05:38 |
| Last Modified: | 20 Jan 2023 05:38 |
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