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Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304)
We consider stochastic discrete optimization problems where the decision variables are non-negative integers. We propose and analyze an on-line control scheme which transforms the problem into a "surrogate" continuous optimization problem and proceeds to solve the latter using standard gradient-based approaches while simultaneously updating both actual and surrogate system states. Convergence of the proposed algorithm is established and it is shown that the discrete state neighborhood of thedoi:10.1109/cdc.1999.830891 fatcat:k5gna54vnvdbletvvkitposba4