Stochastic Approximation Algorithms and Applications
General Material Designation
[Book]
First Statement of Responsibility
by Harold J. Kushner, G. George Yin.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
New York, NY :
Name of Publisher, Distributor, etc.
Imprint: Springer,
Date of Publication, Distribution, etc.
1997.
SERIES
Series Title
Applications of Mathematics, Stochastic Modelling and Applied Probability,
Volume Designation
35
ISSN of Series
0172-4568 ;
CONTENTS NOTE
Text of Note
1 Introduction: Applications and Issues -- 2 Applications to Learning, State Dependent Noise, and Queueing -- 3 Applications in Signal Processing and Adaptive Control -- 4 Mathematical Background -- 5 Convergence with Probability One: Martingale Difference Noise -- 6 Convergence with Probability One: Correlated Noise -- 7 Weak Convergence: Introduction -- 8 Weak Convergence Methods for General Algorithms -- 9 Applications: Proofs of Convergence -- 10 Rate of Convergence -- 11 Averaging of the Iterates -- 12 Distributed/Decentralized and Asynchronous Algorithms -- References -- Symbol Index.
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SUMMARY OR ABSTRACT
Text of Note
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.