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Author : Rainer Schwabe
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (462 download)
Download or read book On a stochastic approximation procedure based on averaging written by Rainer Schwabe and published by . This book was released on 1993 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : R. Schwabe
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (897 download)
Download or read book On a Stochastic Approximation Procedure Based on Averaging written by R. Schwabe and published by . This book was released on 1993 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rainer Schwabe
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (462 download)
Download or read book On a Stochastic Approximation Procedure Based on Averaging written by Rainer Schwabe and published by . This book was released on 1995 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Harold Kushner
Publisher : Springer Science & Business Media
ISBN 13 : 038721769X
Total Pages : 485 pages
Book Rating : 4.3/5 (872 download)
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.
Author : L. Ljung
Publisher : Birkhäuser
ISBN 13 : 3034886098
Total Pages : 120 pages
Book Rating : 4.0/5 (348 download)
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.
Author : Aryeh Dvoretsky
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.3/5 (91 download)
Download or read book On Stochastic Approximation written by Aryeh Dvoretsky and published by . This book was released on 1955 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : M. T. Wasan
Publisher : Cambridge University Press
ISBN 13 : 9780521604857
Total Pages : 220 pages
Book Rating : 4.6/5 (48 download)
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.
Author : B. Delyon
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (897 download)
Download or read book Stochastic Approximation with Averaging written by B. Delyon and published by . This book was released on 1995 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Harold Joseph Kushner
Publisher : MIT Press
ISBN 13 : 9780262110907
Total Pages : 296 pages
Book Rating : 4.1/5 (19 download)
Download or read book Approximation and Weak Convergence Methods for Random Processes, with Applications to Stochastic Systems Theory written by Harold Joseph Kushner and published by MIT Press. This book was released on 1984 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Control and communications engineers, physicists, and probability theorists, among others, will find this book unique. It contains a detailed development of approximation and limit theorems and methods for random processes and applies them to numerous problems of practical importance. In particular, it develops usable and broad conditions and techniques for showing that a sequence of processes converges to a Markov diffusion or jump process. This is useful when the natural physical model is quite complex, in which case a simpler approximation la diffusion process, for example) is usually made. The book simplifies and extends some important older methods and develops some powerful new ones applicable to a wide variety of limit and approximation problems. The theory of weak convergence of probability measures is introduced along with general and usable methods (for example, perturbed test function, martingale, and direct averaging) for proving tightness and weak convergence. Kushner's study begins with a systematic development of the method. It then treats dynamical system models that have state-dependent noise or nonsmooth dynamics. Perturbed Liapunov function methods are developed for stability studies of nonMarkovian problems and for the study of asymptotic distributions of non-Markovian systems. Three chapters are devoted to applications in control and communication theory (for example, phase-locked loops and adoptive filters). Smallnoise problems and an introduction to the theory of large deviations and applications conclude the book. Harold J. Kushner is Professor of Applied Mathematics and Engineering at Brown University and is one of the leading researchers in the area of stochastic processes concerned with analysis and synthesis in control and communications theory. This book is the sixth in The MIT Press Series in Signal Processing, Optimization, and Control, edited by Alan S. Willsky.
Author : Hanfu Chen
Publisher : Springer Science & Business Media
ISBN 13 : 1402008066
Total Pages : 369 pages
Book Rating : 4.4/5 (2 download)
Download or read book Stochastic Approximation and Its Applications written by Hanfu Chen and published by Springer Science & Business Media. This book was released on 2002-08-31 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimating unknown parameters based on observation data conta- ing information about the parameters is ubiquitous in diverse areas of both theory and application. For example, in system identification the unknown system coefficients are estimated on the basis of input-output data of the control system; in adaptive control systems the adaptive control gain should be defined based on observation data in such a way that the gain asymptotically tends to the optimal one; in blind ch- nel identification the channel coefficients are estimated using the output data obtained at the receiver; in signal processing the optimal weighting matrix is estimated on the basis of observations; in pattern classifi- tion the parameters specifying the partition hyperplane are searched by learning, and more examples may be added to this list. All these parameter estimation problems can be transformed to a root-seeking problem for an unknown function. To see this, let - note the observation at time i. e. , the information available about the unknown parameters at time It can be assumed that the parameter under estimation denoted by is a root of some unknown function This is not a restriction, because, for example, may serve as such a function.
Author : M. B. Nevel'son
Publisher : American Mathematical Soc.
ISBN 13 : 9780821809068
Total Pages : 252 pages
Book Rating : 4.8/5 (9 download)
Download or read book Stochastic Approximation and Recursive Estimation written by M. B. Nevel'son and published by American Mathematical Soc.. This book was released on 1976-10-01 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to sequential methods of solving a class of problems to which belongs, for example, the problem of finding a maximum point of a function if each measured value of this function contains a random error. Some basic procedures of stochastic approximation are investigated from a single point of view, namely the theory of Markov processes and martingales. Examples are considered of applications of the theorems to some problems of estimation theory, educational theory and control theory, and also to some problems of information transmission in the presence of inverse feedback.
Author : Harold Joseph Kushner
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (258 download)
Download or read book Stochastic Approximation with Averaging and Feedback written by Harold Joseph Kushner and published by . This book was released on 1993 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chʻen, Han-fu
Publisher : Montréal : Groupe d'études et de recherche en analyse des décisions
ISBN 13 :
Total Pages : 74 pages
Book Rating : 4.:/5 (376 download)
Download or read book Asymptotic Efficiency of Perturbation Analysis Based Stochastic Approximation with Averaging written by Chʻen, Han-fu and published by Montréal : Groupe d'études et de recherche en analyse des décisions. This book was released on 1997 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Harold J. Kushner
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (227 download)
Download or read book Stochastic Approximation with Discontinuous Dynamics and State Dependent Noise: W.p.1 Convergence written by Harold J. Kushner and published by . This book was released on 1980 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic approximations might not be continuous and the noise sequence (xi sub n) might depend on (X sub n). An 'averaging' and an 'ordinary differential equation' method are combined to get w.p.1 convergence for both the above algorithm and for the case where the iterates are projected back onto a bounded set G if they ever leave it. Two examples are developed, the first being an automata problem where the dynamics are not smooth and the noise is state dependent, and the second a Robbins-Monro process with observation averaging (which causes the noise to be state dependent). Each example is typical of a larger class.
Author : Harold Joseph Kushner
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (258 download)
Download or read book Stochastic Approximation with Averaging and Feedback written by Harold Joseph Kushner and published by . This book was released on 1993 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lennart Ljung
Publisher : Birkhäuser
ISBN 13 : 9783764327330
Total Pages : 0 pages
Book Rating : 4.3/5 (273 download)
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.
Author :
Publisher :
ISBN 13 : 9781489926982
Total Pages : 417 pages
Book Rating : 4.9/5 (269 download)
Download or read book Stochastic Approximation Algorithms and Applications written by and published by . This book was released on 1997 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a thorough treatment of rate of convergence, iterate averaging, high-dimensional problems, ergodic cost problems, stability methods for correlated noise, and decentralized and asynchronous algorithms.
