A mirror descent algorithm for minimization of mean Poisson flow driven losses
| Autor: | Svetlana Anulova, Alexander Nazin, Andrey Tremba |
|---|---|
| Rok vydání: | 2014 |
| Předmět: |
MathematicsofComputing_NUMERICALANALYSIS
Function (mathematics) Poisson distribution Upper and lower bounds symbols.namesake Stochastic gradient descent Flow (mathematics) Control and Systems Engineering Bounded function symbols Jump Electrical and Electronic Engineering Convex function Algorithm Mathematics |
| Zdroj: | Automation and Remote Control. 75:1010-1016 |
| ISSN: | 1608-3032 0005-1179 |
| DOI: | 10.1134/s0005117914060022 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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