Communications and Control Engineering

Stochastic Averaging and Stochastic Extremum Seeking

Authors: Liu, Shu-Jun, Krstic, Miroslav

  • For engineers the text develops a stochastic version of increasingly popular deterministic extremum-seeking algorithms
  • Demonstrates to the mathematician how stochastic averaging theory can be used as a tool for studying stability rather than just approximation
  • Stochastic algorithms are intuitive and connect with the huge field of stochastic optimization
  • Shows how control ideas derived from study of a biological system can be generalized into other widely-different fields of application
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About this book

Stochastic Averaging and Extremum Seeking treats methods inspired by attempts to understand the seemingly non-mathematical question of bacterial chemotaxis and their application in other environments. The text presents significant generalizations on existing stochastic averaging theory developed from scratch and necessitated by the need to avoid violation of previous theoretical assumptions by algorithms which are otherwise effective in treating these systems. Coverage is given to four main topics.
Stochastic averaging theorems are developed for the analysis of continuous-time nonlinear systems with random forcing, removing prior restrictions on nonlinearity growth and on the finiteness of the time interval. The new stochastic averaging theorems are usable not only as approximation tools but also for providing stability guarantees.
Stochastic extremum-seeking algorithms are introduced for optimization of systems without available models. Both gradient- and Newton-based algorithms are presented, offering the user the choice between the simplicity of implementation (gradient) and the ability to achieve a known, arbitrary convergence rate (Newton).
The design of algorithms for non-cooperative/adversarial games is described. The analysis of their convergence to Nash equilibria is provided. The algorithms are illustrated on models of economic competition and on problems of the deployment of teams of robotic vehicles.
Bacterial locomotion, such as chemotaxis in E. coli, is explored with the aim of identifying two simple feedback laws for climbing nutrient gradients. Stochastic extremum seeking is shown to be a biologically-plausible interpretation for chemotaxis. For the same chemotaxis-inspired stochastic feedback laws, the book also provides a detailed analysis of convergence for models of nonholonomic robotic vehicles operating in GPS-denied environments.
The book contains block diagrams and several simulation examples, including examples arising from bacterial locomotion, multi-agent robotic systems, and economic market models.
Stochastic Averaging and Extremum Seeking will be informative for control engineers from backgrounds in electrical, mechanical, chemical and aerospace engineering and to applied mathematicians. Economics researchers, biologists, biophysicists and roboticists will find the applications examples instructive.

About the authors

Miroslav Krstic is an author of several books on adaptive control, stochastic nonlinear control, extremum seeking, and control of PDEs. Several of these books have had a high impact in the control field and inspired many researchers to work on the topics that the books have covered and apply the tools from the books in their research and in practice.
Shujun Liu is a young researcher in mathematics and control theory in China with strong connections with the leading research groups in control theory at the Chinese Academy of Sciences. Her doctoral work on stochastic stability and stabilization has had considerable influence on a number of research groups in China who have taken on this topic after her initial work with her doctoral advisor Professor Jifeng Zhang.
Much of the material of this book was developed while the first author was a postdoctoral scholar with the second author at University of California, San Diego.

Reviews

From the book reviews:

“This research monograph presents and consolidates new results on the well-known topic of stochastic averaging and in the emerging area of stochastic extremum seeking. … The monograph develops averaging from scratch for ordinary differential equations in deterministic and stochastic settings. … This book will be of interest to researchers interested in stochastic search techniques applied to a large variety of engineering systems.” (IEEE Control Systems Magazine, October, 2013)

Table of contents (11 chapters)

  • Introduction to Averaging

    Liu, Shu-Jun (et al.)

    Pages 1-10

  • Introduction to Extremum Seeking

    Liu, Shu-Jun (et al.)

    Pages 11-20

  • Stochastic Averaging for Asymptotic Stability

    Liu, Shu-Jun (et al.)

    Pages 21-55

  • Stochastic Averaging for Practical Stability

    Liu, Shu-Jun (et al.)

    Pages 57-78

  • Single-parameter Stochastic Extremum Seeking

    Liu, Shu-Jun (et al.)

    Pages 79-93

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-1-4471-4087-0
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-1-4471-4086-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $129.00
price for USA
  • ISBN 978-1-4471-6185-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Averaging and Stochastic Extremum Seeking
Authors
Series Title
Communications and Control Engineering
Copyright
2012
Publisher
Springer-Verlag London
Copyright Holder
Springer-Verlag London
eBook ISBN
978-1-4471-4087-0
DOI
10.1007/978-1-4471-4087-0
Hardcover ISBN
978-1-4471-4086-3
Softcover ISBN
978-1-4471-6185-1
Series ISSN
0178-5354
Edition Number
1
Number of Pages
XII, 224
Topics