ENGLISH

Stochastic Approximation: A Dynamical Systems Viewpoint

By Vivek S. Borkar

Book information

Year
2008
ISBN
0521515920, 9780521515924
LCC
QA274.2 .B67 2008
Open Library ID
OL23536532M
Language
english
Format
PDF
Filesize
824 kB (844228 bytes)
Edition
1
Pages
176\173
Time added
2011-06-04 13:46:07

Description

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.

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