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Look Inside Stochastic Approximation

Stochastic Approximation
A Dynamical Systems Viewpoint

$67.99 (C)

  • Author: Vivek S. Borkar, Tata Institute of Fundamental Research, Mumbai, India
  • Date Published: September 2008
  • availability: Available
  • format: Hardback
  • isbn: 9780521515924

$ 67.99 (C)

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About the Authors
  • This simple, compact toolkit for designing and analyzing stochastic approximation algorithms requires only a basic understanding of probability and differential equations. Although powerful, these algorithms have applications in control and communications engineering, artificial intelligence and economic modeling. Unique topics include finite-time behavior, multiple timescales and asynchronous implementation. There is a useful plethora of applications, each with concrete examples from engineering and economics. Notably it covers variants of stochastic gradient-based optimization schemes, fixed-point solvers, which are commonplace in learning algorithms for approximate dynamic programming, and some models of collective behavior.

    • Simple, compact, cohesive
    • Motivated by modern applications and implementation
    • Discussion of current topics: finite-time behaviour, multiple timescales, asynchronous implementation
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    Reviews & endorsements

    "I highly recommend it to all readers interested in the theory of recursive algorithms and its applications in practice."
    Oleg N. Granichin, Mathematical Reviews

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    Product details

    • Date Published: September 2008
    • format: Hardback
    • isbn: 9780521515924
    • length: 176 pages
    • copublisher: Hindustan Book Agency
    • dimensions: 233 x 157 x 17 mm
    • weight: 0.38kg
    • availability: Available
  • Table of Contents

    1. Introduction
    2. Basic convergence analysis
    3. Stability criteria
    4. Lock-in probability
    5. Stochastic recursive inclusions
    6. Multiple timescales
    7. Asynchronous schemes
    8. A limit theorem for fluctuations
    9. Constant stepsize algorithms
    10. Applications
    11. Appendices

  • Author

    Vivek S. Borkar, Tata Institute of Fundamental Research, Mumbai, India
    Vivek S. Borkar is dean of the School of Technology and Computer Science at the Tata Institute of Fundamental Research. A distinguished researcher in stochastic and adaptive control, he distils his deep knowledge and broad experience in this motivating book.

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