Stochastic Approximation: A Dynamical Systems Viewpoint (Texts and Readings in Mathematics) - Hardcover
Book 8 of 33: Texts and Readings in Mathematics
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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Book Description
A toolkit for designing and analyzing algorithms, chosen and explained by an expert; applications to communication networks, artificial intelligence, econometrics.
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 (Texts and Readings in Mathematics)
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