Stochastic Approximation Algorithms and Applications

H.J. Kushner, G. Yin (Autoren)

Buch | Hardcover

430 Seiten

2002
Springer-Verlag New York Inc.
978-0-387-94916-1 (ISBN)

Infos

In recent years, algorithms of the stochastic approximation type have found applications in new and diverse areas and new techniques have been developed for proofs of convergence and rate of convergence. This book presents a thorough coverage of the ODE method used to analyze these algorithms.

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In recent years, algorithms of the stochastic approximation type have found applications in new and diverse areas and new techniques have been developed for proofs of convergence and rate of convergence. The actual and potential applications in signal processing have exploded. New challenges have arisen in applications to adaptive control. This book presents a thorough coverage of the ODE method used to analyze these algorithms.

Inhalt

Applications and issues; application to learning, state dependent noise and queueing; applications to signal processing and adaptive control; mathematical background; convergence with probability one - Martingale difference noise; convergence with probability one - correlated noise; weak convergence - introduction; weak convergence methods for general algorithms; applications - proofs of convergence; rate of convergence; averaging of the iterates; distributed/decentralized and asynchronous algorithms.

Produkt-Details

• Erscheint lt. Verlag: 6.5.2002
• Reihe/Serie: Applications of Mathematics ; v.35
• Verlagsort: New York, NY
• Sprache: englisch
• Einbandart: gebunden
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• ISBN-10: 0-387-94916-X / 038794916X
• ISBN-13: 978-0-387-94916-1 / 9780387949161
• Zustand: Neuware