38516

Автор(ы): 

Автор(ов): 

3

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

A mirror descent algorithm for minimization of mean Poisson flow driven losses

ISBN/ISSN: 

0005-1179

DOI: 

10.1134/S0005117914060022

Наименование источника: 

  • Automation and Remote Control

Обозначение и номер тома: 

Vol. 75, Issue 6

Город: 

  • New York

Издательство: 

  • Springer Link

Год издания: 

2014

Страницы: 

1010-1016
Аннотация
A problem of minimization of integral losses on given horizon is considered for stochastic system in continuous time. The losses occur in jump times of a Poisson process, and represent continuous convex function of control parameter on convex compact finite-dimensional set. At the jump times an oracle provide stochastically perturbed sub-gradient of the loss function, bounded in mean squares; the noise is additive and centered. Control strategy generated by Mirror Descent algorithm is suggested. For the strategy an explicit upper bound for integral loss discrepancy over its minimum is proved. Example of such strategy application to queueing model is examined.

Библиографическая ссылка: 

Назин А.В., Анулова С.В., Тремба А.А. A mirror descent algorithm for minimization of mean Poisson flow driven losses // Automation and Remote Control. 2014. Vol. 75, Issue 6. С. 1010-1016.

Публикация имеет версию на другом языке: 

Да

Связь с публикацией: