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Synopsis
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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About the Author
Vivek S. Borkar is dean of the School of Technology and Computer Science at the Tata Institute of Fundamental Research. A distinguished researcher in stochastic and adaptive control, he distils his deep knowledge and broad experience in this motivating book.
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STOCHASTIC APPROXIMATION: A DYNAMICAL SYSTEMS VIEWPOINT
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STOCHASTIC APPROXIMATION: A DYNAMICAL SYSTEMS VIEWPOINT
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Stochastic Approximation: A Dynamical Systems Viewpoint
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Stochastic Approximation
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Stochastic Approximation: A Dynamical Systems Viewpoint
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Stochastic Approximation: A Dynamical Systems Viewpoint
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Stochastic Approximation: A Dynamical Systems Viewpoint
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Stochastic Approximation (Hardcover)
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Hardcover. Condition: new. Hardcover. 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. Simple, compact toolkit for designing and analyzing algorithms, with concrete examples from control and communications engineering, artificial intelligence, economic modelling. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780521515924
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Stochastic Approximation: A Dynamical Systems Viewpoint
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Stochastic Approximation: A Dynamical Systems Viewpoint
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