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Stochastic Comparison, Boundedness, Weak Convergence, and Ergodicity of a Random Riccati Equation with Markovian Binary Switching.
Li Xie
Published in:
SIAM J. Control. Optim. (2012)
Keyphrases
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convergence theorem
point processes
differential equations
stochastic approximation
markov chain
sufficient conditions
learning algorithm
markov processes
data sets
monte carlo
convergence speed
numerical solution
hamilton jacobi