Stochastic Approximation

Name: Stochastic Approximation
Brand: Cambridge University Press
SKU: 9780521515924
Price: 79.26 EUR
Availability: InStock

A Dynamical Systems Viewpoint

Autor: Vivek S. Borkar

Jazyk:

Väzba: Pevná

Vydavateľ: Cambridge University Press

Dostupnosť: Skladom u dodávateľa

Odosielame za 14-21 dní

79.26 €

This simple, compact toolkit for designing and analyzing stochastic approximation algorithms require...

Informácie o knihe

Autor

Vivek S. Borkar

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2008

Stránok

176

EAN

9780521515924

ISBN

0521515920

Enbook ID

02033170

Vydavateľ

Cambridge University Press

Hmotnosť

386

Rozmery

235 x 161 x 16

Kompletný popis

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.

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Stochastic Approximation

A Dynamical Systems Viewpoint

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