Stochastic approximation A dynamical systems viewpoint
1. Introduction.- 2. Convergence Analysis.- 3. Finite Time Bounds and Traps.- 4. Stability Criteria.- 5. Stochastic Recursive Inclusions.- 6. Asynchronous Schemes.- 7. A Limit Theorem for Fluctuations.- 8. Multiple Timescales.- 9. Constant Stepsize Algorithms.- 10. General Noise Models.- 11. Stochas...
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| Format: | UnknownFormat |
| Sprache: | eng |
| Veröffentlicht: |
Singapore
Springer
2023
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| Ausgabe: | Second edition |
| Schriftenreihe: | Texts and readings in mathematics
48 |
| Schlagworte: |
Artificial intelligence
> Automatic control engineering
> BUSINESS & ECONOMICS / Decision-Making & Problem Solving
> BUSINESS & ECONOMICS / Operations Research
> COMPUTERS / Artificial Intelligence
> Game theory
> Künstliche Intelligenz
> MAT029040
> MATHEMATICS / Game Theory
> MATHEMATICS / Probability & Statistics / General
> Management decision making
> Management: Entscheidungstheorie
> Operational research
> Probability & statistics
> Regelungstechnik
> Spieltheorie
> Stochastics
> Stochastik
> TECHNOLOGY & ENGINEERING / Automation
> Unternehmensforschung
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| Zusammenfassung: | 1. Introduction.- 2. Convergence Analysis.- 3. Finite Time Bounds and Traps.- 4. Stability Criteria.- 5. Stochastic Recursive Inclusions.- 6. Asynchronous Schemes.- 7. A Limit Theorem for Fluctuations.- 8. Multiple Timescales.- 9. Constant Stepsize Algorithms.- 10. General Noise Models.- 11. Stochastic Gradient Schemes.- 12. Liapunov and Related Systems.- 13. Appendix A: Topics in Analysis.- 14. Appendix B: Ordinary Differential Equations.- 15. Appendix C: Topics in Probability.- Bibliography.- Index. This book serves as an advanced text for a graduate course on stochastic algorithms for the students of probability and statistics, engineering, economics and machine learning. This second edition gives a comprehensive treatment of stochastic approximation algorithms based on the ordinary differential equation (ODE) approach which analyses the algorithm in terms of a limiting ODE. It has a streamlined treatment of the classical convergence analysis and includes several recent developments such as concentration bounds, avoidance of traps, stability tests, distributed and asynchronous schemes, multiple time scales, general noise models, etc., and a category-wise exposition of many important applications. It is also a useful reference for researchers and practitioners in the field |
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| Beschreibung: | XV, 273 Seiten |
| ISBN: | 9789819982769 978-981-99-8276-9 |