MULTISCALE STOCHASTIC-APPROXIMATION FOR PARAMETRIC OPTIMIZATION OF HIDDEN MARKOV-MODELS

Authors
BHATNAGAR S BORKAR VS
Citation
S. Bhatnagar et Vs. Borkar, MULTISCALE STOCHASTIC-APPROXIMATION FOR PARAMETRIC OPTIMIZATION OF HIDDEN MARKOV-MODELS, Probability in the engineering and informational sciences, 11(4), 1997, pp. 509-522
Citations number
14
Categorie Soggetti
Operatione Research & Management Science","Engineering, Industrial","Statistic & Probability","Operatione Research & Management Science
Journal title
Probability in the engineering and informational sciences → ACNP
ISSN journal
02699648
Volume
11
Issue
4
Year of publication
1997
Pages
509 - 522
Database
ISI
SICI code
0269-9648(1997)11:4<509:MSFPOO>2.0.ZU;2-8
Abstract
A two-time scale stochastic approximation algorithm is proposed for si mulation-based parametric optimization of hidden Markov models, as an alternative to the traditional approaches to ''infinitesimal perturbat ion analysis.'' Its convergence is analyzed, and a queueing example is presented.