Stochastic Approximation
Overview
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.
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Details
- ISBN-13: 9780521515924
- ISBN-10: 0521515920
- Publisher: Cambridge University Press
- Publish Date: September 2008
- Dimensions: 9 x 6 x 0.6 inches
- Shipping Weight: 0.85 pounds
- Page Count: 176
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