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Stochastic approximation is a relatively new technique for studying the properties of an experimental situation; it has important applications in fields such as medicine and engineering. The subject can be treated either largely as a branch of pure mathematics, or else from an empirical and practical angle. In this book, Dr Wasan gives a rigorous mathematical treatment of the subject, drawing together the scattered results of a number of authors. He discusses the conditions under which the method gives a valid approximation to the required solution; methods for optimal choice of parameters to hasten convergence; the comparison of the method with other techniques. The discussion and proofs of theorems are given in enough detail to make them easy to follow, while a number of interesting examples show how the techniques may be applied in many fields.
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- Date Published: June 2004
- format: Paperback
- isbn: 9780521604857
- length: 216 pages
- dimensions: 216 x 140 x 13 mm
- weight: 0.28kg
- availability: Available
Table of Contents
2. The Robbins-Monro method
3. The Kiefer-Wolfowitz method
5. Multivariate stochastic-approximation methods
6. Asymptotic normality
7. The approximation for continuous random processes
8. Up-and-down method
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