Stochastic Approximation: A Dynamical Systems Viewpoint
  • Alternative view 1 of Stochastic Approximation: A Dynamical Systems Viewpoint
  • Alternative view 2 of Stochastic Approximation: A Dynamical Systems Viewpoint

Stochastic Approximation: A Dynamical Systems Viewpoint

by Vivek S. Borkar
     
 

ISBN-10: 0521515920

ISBN-13: 9780521515924

Pub. Date: 09/01/2008

Publisher: Cambridge University Press

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,

Overview

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.

Product Details

ISBN-13:
9780521515924
Publisher:
Cambridge University Press
Publication date:
09/01/2008
Pages:
164
Product dimensions:
6.10(w) x 9.00(h) x 0.60(d)

Related Subjects

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.

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >