Stochastic Approximation

Language: English

Published by Cambridge University Press, GB, 2008

0521515920 / 9780521515924

Series: Book 8 of 33 - Texts and Readings in Mathematics

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This simple, compact toolkit for designing and analyzing stochastic approximation algorithms requires only basic literacy in probability and differential equations. Yet these algorithms have powerful applications in control and communications engineering, artificial intelligence and economic modelling. The dynamical systems viewpoint treats an algorithm as a noisy discretization of a limiting differential equation and argues that, under reasonable hypotheses, it tracks the asymptotic behaviour of the differential equation with probability one. The differential equation, which can usually be obtained by inspection, is easier to analyze. Novel topics include finite-time behaviour, multiple timescales and asynchronous implementation. There is a useful taxonomy of applications, 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 behaviour. Three appendices give background on differential equations and probability.…

Seller Inventory # LU-9780521515924

Title
Stochastic Approximation
Author
Vivek S. Borkar
Publisher
Cambridge University Press, GB
Publication year
2008
Condition
New
Binding
Hardback
Language
English
ISBN 10
0521515920
ISBN 13
9780521515924
Item weight
380 grams
Series
Book 8 of 33: Texts and Readings in Mathematics

Rarewaves.com USA

London, London, United Kingdom

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