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An optimal stochastic approximation for estimating the effective window of a control factor. (English) Zbl 1332.93347

Summary: For control processes with one control factor and ternary response, it is important to find the effective settings of the control factor. Especially, it is often of scientific and practical interest to find the window of the control factor that is necessary to cause the probability of normal response larger than a specified \(p\). This article proposes an optimal stochastic approximation to estimate the window of interest. Simulation study shows that the proposed method gives an efficient estimation with small sample size.

MSC:

93E10 Estimation and detection in stochastic control theory
93E20 Optimal stochastic control
93C55 Discrete-time control/observation systems
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