Stochastic approximation: a dynamical systems viewpoint

Stochastic approximation: a dynamical systems viewpoint
Автор
 
Год
 
ISBN
 
ISBN10:0521515920
Издатель
 
Cambridge University Press

Описание:

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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