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Stochastic Approximation: A Dynamical Systems Viewpoint

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Focusing on stochastic approximation algorithms, this advanced text offers a comprehensive analysis using the ordinary differential equation (ODE) approach. The second edition enhances classical convergence analysis and introduces recent developments like concentration bounds and stability tests. It covers distributed schemes, multiple time scales, and various noise models, while also categorizing key applications. This book serves as both a graduate course resource and a valuable reference for researchers and practitioners in probability, statistics, engineering, economics, and machine learning.

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Stochastic Approximation: A Dynamical Systems Viewpoint, Vivek S. Borkar

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Année de publication
2024
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Langue
Anglais
Publié
2024
Format
souple
Pages
268
ISBN13
9789819982738
Séries
Évaluation
4 sur 5
Description
Focusing on stochastic approximation algorithms, this advanced text offers a comprehensive analysis using the ordinary differential equation (ODE) approach. The second edition enhances classical convergence analysis and introduces recent developments like concentration bounds and stability tests. It covers distributed schemes, multiple time scales, and various noise models, while also categorizing key applications. This book serves as both a graduate course resource and a valuable reference for researchers and practitioners in probability, statistics, engineering, economics, and machine learning.