Stochastic Approximation. A Dynamical Systems Viewpoint

This book does not intend to be a comprehensive text on stochastic approximation (SA) but rather a “bite-sized” one. Besides the basic convergence analysis of SA procedures, attention is paid to topics connected with their implementation, such as multiple timescales or asynchronous schemes. A short chapter is devoted to the constant stepsize algorithms. Methodologically, the ODE approach has been adopted, which treats the SA algorithm as a noisy discretization of an ordinary differential equation. An overview of several applications is given. Some less standard mathematical requirements can be found in the appendices.

Reviewer: 
vdup
Book details
Author:  Publisher: 
Published: 
2008
ISBN: 
978-0-521-51592-4
Price: 
GBP 35
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