Stochastic Approximation and Recursive Algorithms and Applications Hardcover - 2003
by Harold Kushner; G. George Yin
From the rear cover
This revised and expanded second edition presents a thorough development of the modern theory of stochastic approximation or recursive stochastic algorithms for both constrained and unconstrained problems. There is a complete development of both probability one and weak convergence methods for very general noise processes. The proofs of convergence use the ODE method, the most powerful to date. The assumptions and proof methods are designed to cover the needs of recent applications. The development proceeds from simple to complex problems, allowing the underlying ideas to be more easily understood. Rate of convergence, iterate averaging, high-dimensional problems, stability-ODE methods, two time scale, asynchronous and decentralized algorithms, state-dependent noise, stability methods for correlated noise, perturbed test function methods, and large deviations methods are covered. Many motivating examples from learning theory, ergodic cost problems for discrete event systems, wireless communications, adaptive control, signal processing, and elsewhere illustrate the applications of the theory.
Details
- Title Stochastic Approximation and Recursive Algorithms and Applications
- Author Harold Kushner; G. George Yin
- Binding Hardcover
- Edition 2nd
- Pages 478
- Volumes 1
- Language ENG
- Publisher Springer
- Date 2003-07-17
- Illustrated Yes
- ISBN 9780387008943 / 0387008942
- Weight 1.83 lbs (0.83 kg)
- Dimensions 9.56 x 6.42 x 1.14 in (24.28 x 16.31 x 2.90 cm)
- Library of Congress subjects Algorithms, Recursive functions
- Library of Congress Catalog Number 2003045459
- Dewey Decimal Code 511.4
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