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Asymptotic Behavior Of Stochastic Approximation And Large Deviations
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Book Synopsis Asymptotic Behavior of Stochastic Approximation and Large Deviations by : Harold J. Kushner
Download or read book Asymptotic Behavior of Stochastic Approximation and Large Deviations written by Harold J. Kushner and published by . This book was released on 1983 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of large deviations is applied to the study of the asymptotic properties of the stochastic approximation algorithms. The method provides a useful alternative to the currently used technique of obtaining rate of convergence results.
Book Synopsis Asymptotic Behavior of Stochastic Approximation and Large Deviations /by Harold J. Kushner by : Harold Joseph Kushner
Download or read book Asymptotic Behavior of Stochastic Approximation and Large Deviations /by Harold J. Kushner written by Harold Joseph Kushner and published by . This book was released on 1983 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymptotic Behavior of Constrained Stochastic Approximations Via the Theory of Large Deviations by : Paul Dupuis
Download or read book Asymptotic Behavior of Constrained Stochastic Approximations Via the Theory of Large Deviations written by Paul Dupuis and published by . This book was released on 1985 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This document describes a projected recursive (or stochastic approximation) algorithm which arises frequently in applications in control and communications theory. There is a sizeable literature concerning its asymptotic properties as epsilon approaching limit of o with epsilon sub n approaching limit of t or epsilon n approaching infinity. Keywords: Convergence; Asymptotic normality.
Book Synopsis Stochastic Approximations Via Large Deviations: Asymptotic Properties by : Paul Dupuis
Download or read book Stochastic Approximations Via Large Deviations: Asymptotic Properties written by Paul Dupuis and published by . This book was released on 1984 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asymptotic properties of Robbins-Munro and Kiefer-Wolfowitz type stochastic approximation algorithms are obtained via the theory of large deviations. The conditions are weak and can even yield w.p.l. convergence results. The probability of escape of the iterates from a neighborhood of a stable point of the algorithm is estimated and shown to be considerably smaller than suggested by the classical asymptotic normality of local normalized errors method of getting the asymptotic properties. The escape probabilities are a natural quantity of interest. In many applications, they are more useful than the local normalized mean square errors. Other large deviations estimates are also obtained. Keywords: Recursive algorithms.
Book Synopsis Stochastic Approximation and Optimization of Random Systems by : L. Ljung
Download or read book Stochastic Approximation and Optimization of Random Systems written by L. Ljung and published by Birkhäuser. This book was released on 2012-12-06 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: The DMV seminar "Stochastische Approximation und Optimierung zufalliger Systeme" was held at Blaubeuren, 28. 5. -4. 6. 1989. The goal was to give an approach to theory and application of stochas tic approximation in view of optimization problems, especially in engineering systems. These notes are based on the seminar lectures. They consist of three parts: I. Foundations of stochastic approximation (H. Walk); n. Applicational aspects of stochastic approximation (G. PHug); In. Applications to adaptation :ugorithms (L. Ljung). The prerequisites for reading this book are basic knowledge in probability, mathematical statistics, optimization. We would like to thank Prof. M. Barner and Prof. G. Fischer for the or ganization of the seminar. We also thank the participants for their cooperation and our assistants and secretaries for typing the manuscript. November 1991 L. Ljung, G. PHug, H. Walk Table of contents I Foundations of stochastic approximation (H. Walk) §1 Almost sure convergence of stochastic approximation procedures 2 §2 Recursive methods for linear problems 17 §3 Stochastic optimization under stochastic constraints 22 §4 A learning model; recursive density estimation 27 §5 Invariance principles in stochastic approximation 30 §6 On the theory of large deviations 43 References for Part I 45 11 Applicational aspects of stochastic approximation (G. PHug) §7 Markovian stochastic optimization and stochastic approximation procedures 53 §8 Asymptotic distributions 71 §9 Stopping times 79 §1O Applications of stochastic approximation methods 80 References for Part II 90 III Applications to adaptation algorithms (L.
Book Synopsis The Theory of Large Deviations and the Asymptotic Analysis of Recursive Algorithms and Stochastic Approximation by : Harold J. Kushner
Download or read book The Theory of Large Deviations and the Asymptotic Analysis of Recursive Algorithms and Stochastic Approximation written by Harold J. Kushner and published by . This book was released on 1984 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two-Scale Stochastic Systems by : Yuri Kabanov
Download or read book Two-Scale Stochastic Systems written by Yuri Kabanov and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two-scale systems described by singularly perturbed SDEs have been the subject of ample literature. However, this new monograph develops subjects that were rarely addressed and could be given the collective description "Stochastic Tikhonov-Levinson theory and its applications." The book provides a mathematical apparatus designed to analyze the dynamic behaviour of a randomly perturbed system with fast and slow variables. In contrast to the deterministic Tikhonov-Levinson theory, the basic model is described in a more realistic way by stochastic differential equations. This leads to a number of new theoretical questions but simultaneously allows us to treat in a unified way a surprisingly wide spectrum of applications like fast modulations, approximate filtering, and stochastic approximation.Two-scale systems described by singularly perturbed SDEs have been the subject of ample literature. However, this new monograph develops subjects that were rarely addressed and could be given the collective description "Stochastic Tikhonov-Levinson theory and its applications." The book provides a mathematical apparatus designed to analyze the dynamic behaviour of a randomly perturbed system with fast and slow variables. In contrast to the deterministic Tikhonov-Levinson theory, the basic model is described in a more realistic way by stochastic differential equations. This leads to a number of new theoretical questions but simultaneously allows us to treat in a unified way a surprisingly wide spectrum of applications like fast modulations, approximate filtering, and stochastic approximation.
Book Synopsis Stochastic Approximation and Recursive Algorithms and Applications by : Harold Kushner
Download or read book Stochastic Approximation and Recursive Algorithms and Applications written by Harold Kushner and published by Springer Science & Business Media. This book was released on 2006-05-04 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a thorough development of the modern theory of stochastic approximation or recursive stochastic algorithms for both constrained and unconstrained problems. This second edition is a thorough revision, although the main features and structure remain unchanged. It contains many additional applications and results as well as more detailed discussion.
Book Synopsis Stochastic Approximation and Optimization of Random Systems by : Lennart Ljung
Download or read book Stochastic Approximation and Optimization of Random Systems written by Lennart Ljung and published by Birkhäuser. This book was released on 1992-03-31 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The DMV seminar "Stochastische Approximation und Optimierung zufalliger Systeme" was held at Blaubeuren, 28. 5. -4. 6. 1989. The goal was to give an approach to theory and application of stochas tic approximation in view of optimization problems, especially in engineering systems. These notes are based on the seminar lectures. They consist of three parts: I. Foundations of stochastic approximation (H. Walk); n. Applicational aspects of stochastic approximation (G. PHug); In. Applications to adaptation :ugorithms (L. Ljung). The prerequisites for reading this book are basic knowledge in probability, mathematical statistics, optimization. We would like to thank Prof. M. Barner and Prof. G. Fischer for the or ganization of the seminar. We also thank the participants for their cooperation and our assistants and secretaries for typing the manuscript. November 1991 L. Ljung, G. PHug, H. Walk Table of contents I Foundations of stochastic approximation (H. Walk) §1 Almost sure convergence of stochastic approximation procedures 2 §2 Recursive methods for linear problems 17 §3 Stochastic optimization under stochastic constraints 22 §4 A learning model; recursive density estimation 27 §5 Invariance principles in stochastic approximation 30 §6 On the theory of large deviations 43 References for Part I 45 11 Applicational aspects of stochastic approximation (G. PHug) §7 Markovian stochastic optimization and stochastic approximation procedures 53 §8 Asymptotic distributions 71 §9 Stopping times 79 §1O Applications of stochastic approximation methods 80 References for Part II 90 III Applications to adaptation algorithms (L.
Book Synopsis Scientific and Technical Aerospace Reports by :
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on with total page 1050 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Approximation and Large Deviations by : P. Dupuis
Download or read book Stochastic Approximation and Large Deviations written by P. Dupuis and published by . This book was released on 1988 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Approximation and Recursive Algorithms and Applications by : Harold Kushner
Download or read book Stochastic Approximation and Recursive Algorithms and Applications written by Harold Kushner and published by Springer. This book was released on 1997-06-12 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most comprehensive and thorough treatment of modern stochastic approximation type algorithms to date, based on powerful methods connected with that of the ODE. It covers general constrained and unconstrained problems, w.p.1 as well as the very successful weak convergence methods under weak conditions on the dynamics and noise processes, asymptotic properties and rates of convergence, iterate averaging methods, ergodic cost problems, state dependent noise, high dimensional problems, plus decentralized and asynchronous algorithms, and the use of methods of large deviations. Examples from many fields illustrate and motivate the techniques.
Book Synopsis Handbook of Sequential Analysis by : B.K. Ghosh
Download or read book Handbook of Sequential Analysis written by B.K. Ghosh and published by CRC Press. This book was released on 1991-04-24 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sequential analysis refers to the body of statistical theory and methods where the sample size may depend in a random manner on the accumulating data. A formal theory in which optimal tests are derived for simple statistical hypotheses in such a framework was developed by Abraham Wald in the early 1
Book Synopsis SIAM Journal on Control and Optimization by : Society for Industrial and Applied Mathematics
Download or read book SIAM Journal on Control and Optimization written by Society for Industrial and Applied Mathematics and published by . This book was released on 2005 with total page 800 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Approximation by : M. T. Wasan
Download or read book Stochastic Approximation written by M. T. Wasan and published by Cambridge University Press. This book was released on 2004-06-03 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous mathematical treatment of the technique for studying the properties of an experimental situation.
Book Synopsis Stochastic Approximation and Large Deviations: General Results for W.p.l. Convergence by : Paul Gilbert Dupuis
Download or read book Stochastic Approximation and Large Deviations: General Results for W.p.l. Convergence written by Paul Gilbert Dupuis and published by . This book was released on 1987 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: W.p.l. convergence results are obtained for stochastic recursive approximation algorithms under very general conditions. The gain sequence (a sub n) can go to zero very slowly and state-dependent noise, discontinuous dynamical equations and the projected or constrained algorithm are all treated. The basic technique is the theory of large deviations. Prior results obtained via this theory are extended in many directions. Keywords: Local linearization; Errors for tracking systems.
Book Synopsis Scientific and Technical Aerospace Reports by :
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1986 with total page 1362 pages. Available in PDF, EPUB and Kindle. Book excerpt:
