Borkar V Stochastic Approximation A Dynamical Systems Viewpoint 2022 | 20.54 MB
English | 373 Pages

Title: Stochastic Approximation: A Dynamical Systems Viewpoint (Texts and Readings in Mathematics Book 48)
Author: Vivek S. Borkar
Year: 2009

Description:
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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