Bhatnagar, Shalabh and Borkar, VS (1997) Multiscale stochastic approximation for parametric optimization of hidden Markov models. In: Probability in the Engineering and Informational Sciences, 11 (4). pp. 509-522.
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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.
| Item Type: | Journal Article |
|---|---|
| Publication: | Probability in the Engineering and Informational Sciences |
| Publisher: | Cambridge University Press |
| Additional Information: | Copyright of this article belongs to Cambridge University Press. |
| Department/Centre: | Division of Electrical Sciences > Computer Science & Automation Division of Electrical Sciences > Electrical Engineering |
| Date Deposited: | 04 Aug 2011 07:03 |
| Last Modified: | 27 Feb 2019 10:25 |
| URI: | http://eprints.iisc.ac.in/id/eprint/38313 |
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