Stochastic Approximation
Stochastic Approximation
$81.00
USDThis 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
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
Product details
September 2008Hardback
9780521515924
176 pages
233 × 157 × 17 mm
0.38kg
Available
Table of Contents
- Preface
- 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
- References
- Index.
