Stochastic Approximation: A Dynamical Systems Viewpoint

Borkar, Vivek S.

ISBN 10: 0521515920 / ISBN 13: 9780521515924

Published by Cambridge University Press, 2008

About this Item

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Bibliographic Details

• Title: Stochastic Approximation: A Dynamical Systems Viewpoint
• Publisher: Cambridge University Press
• Publication Date: 2008
• Language: English
• ISBN 10: 0521515920
• ISBN 13: 9780521515924
• Binding: Hardcover
• Condition: good

About this title

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.

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.