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Convergence analysis of a global optimization algorithm using stochastic differential equations

✍ Scribed by Panos Parpas; Berç Rustem


Publisher
Springer US
Year
2009
Tongue
English
Weight
210 KB
Volume
45
Category
Article
ISSN
0925-5001

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Weak convergence of a sequence of stocha
✍ Masaru Iizuka 📂 Article 📅 1987 🏛 Springer 🌐 English ⚖ 494 KB

We consider a sequence of discrete parameter stochastic processes defined by solutions to stochastic difference equations. A condition is given that this sequence converges weakly to a continuous parameter process defined by solutions to a stochastic ordinary differential equation. Applying this res