| Document Type
|
:
|
BL
|
| Record Number
|
:
|
730671
|
| Doc. No
|
:
|
b550437
|
| Main Entry
|
:
|
by Han-Fu Chen.
|
| Title & Author
|
:
|
Stochastic approximation and its applications\ by Han-Fu Chen.
|
| Publication Statement
|
:
|
New York: Kluwer Academic Publishers, ©2003.
|
| Series Statement
|
:
|
Nonconvex optimization and its applications, v. 64.
|
| Page. NO
|
:
|
(xv, 357 pages) : illustrations
|
| ISBN
|
:
|
0306481669
|
|
|
:
|
: 9780306481666
|
| Contents
|
:
|
Robbins-Monro algorithm. Finding zeros of a function ; Probabilistic method ; ODE method ; Truncated RM algorithm and TS method ; Weak convergence method --;Stochastic approximation algorithms with expanding truncations. Motivation ; General convergence theorems by TS method ; Convergence under state-independent conditions ; Necessity of noise condition ; Non-additive noise ; Connection between trajectory convergence and property of limit points ; Robustness of stochastic approximation algorithms ; Dynamic stochastic approximation --;Asymptotic properties of stochastic approximation algorithms. Convergence rate: nondegenerate case ; Convergence rate: degenerate case ; Asymptotic normality ; Asymptotic efficiency --;Optimization by stochastic approximation. Kiefer-Wolfowitz algorithm with randomized differences ; Asymptotic properties of KW algorithm ; Global optimization ; Asymptotic behavior of global optimization algorithm ; Application to model reduction --;Application to signal processing. Recursive blind identification ; Principal component analysis ; Recursive blind identification by PCA ; Constrained adaptive filtering ; Adaptive filtering by sign algorithms ; Asynchronous stochastic approximation --;Application to systems and control. Application to identification and adaptive control ; Application to adaptive stabilization ; Application to pole assignment for systems with unknown coefficients ; Application to adaptive regulation --;Appendices. Probability space ; Random variable and distribution function ; Expectation ; Convergence theorems and inequalities ; Conditional expectation ; Independence ; Ergodicity ; Convergence theorems for Martingale ; Convergence theorems for MDS I ; Borel-Cantelli-Levy Lemma ; Convergence criteria for adapted sequences ; Convergence theorems for MDS II ; Weighted sum of MDS --;References.
|
| Abstract
|
:
|
Estimating unknown parameters based on observation data conta- ing information about the parameters is ubiquitous in diverse areas of both theory and application.
|
| Subject
|
:
|
Approximation stochastique.
|
| Subject
|
:
|
MATHEMATICS -- Probability Statistics -- General.
|
| Subject
|
:
|
Stochastic approximation.
|
| LC Classification
|
:
|
QA274.2B943 2003
|
| Added Entry
|
:
|
Hanfu Chen
|