Large deviations and rare events in the study of stochastic algorithms
Large deviations and rare events in the study of stochastic algorithms
复制标题
DOI：
10.1109/tac.1983.1103345
复制
发表时间：
1983-09
影响因子：
6.8
通讯作者：
M. Cottrell;J. Fort;G. Malgouyres
中科院分区：
文献类型：
--
作者：
M. Cottrell;J. Fort;G. Malgouyres
得到了离散时间马氏过程从几乎稳定区域平均离开时间的新的渐近公式。提出了一种新颖的快速仿真方法。数学背景涉及大偏差定理和近似的扩散过程。我们主要关注的是经典的Robbins-Monroe算法。ALOHA系统（卫星型通信算法）的例子上的结果的有效性进行了测试。
New asymptotics formulas for the mean exit time from an almost stable domain of a discrete-time Markov process are obtained. An original fast simulation method is also proposed. The mathematical background involves the large deviation theorems and approximations by a diffusion process. We are chiefly concerned with the classical Robbins-Monroe algorithm. The validity of the results are tested on examples from the ALOHA system (a satellite type communication algorithm).