Lecture Notes in Control and Information Sciences

Stochastic Recursive Algorithms for Optimization

Simultaneous Perturbation Methods

Authors: Bhatnagar, S., Prasad, H.L., Prashanth, L.A.

  • Algorithms described perform better in real-life settings than many previously described in the literature
  • Detailed mathematical treatment of the algorithms proposed is provided using both gradient- and Hessian-based methods
  • Both constrained and unconstrained optimization problems are treated with applications in service systems, traffic signal control and communication networks
see more benefits

Buy this book

eBook $119.00
price for USA (gross)
  • ISBN 978-1-4471-4285-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $159.00
price for USA
  • ISBN 978-1-4471-4284-3
  • 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
About this book

Stochastic Recursive Algorithms for Optimization presents algorithms for constrained and unconstrained optimization and for reinforcement learning. Efficient perturbation approaches form a thread unifying all the algorithms considered. Simultaneous perturbation stochastic approximation and smooth fractional estimators for gradient- and Hessian-based methods are presented. These algorithms:
• are easily implemented;
• do not require an explicit system model; and
• work with real or simulated data.
Chapters on their application in service systems, vehicular traffic control and communications networks illustrate this point. The book is self-contained with necessary mathematical results placed in an appendix.
The text provides easy-to-use, off-the-shelf algorithms that are given detailed mathematical treatment so the material presented will be of significant interest to practitioners, academic researchers and graduate students alike. The breadth of applications makes the book appropriate for reader from similarly diverse backgrounds: workers in relevant areas of computer science, control engineering, management science, applied mathematics, industrial engineering and operations research will find the content of value.

About the authors

All three authors have been extensively working in the area of stochastic control and optimization. S. Bhatnagar has worked for nearly 20 years in this area and has published extensively in both journals and conferences. This book in many ways summarizes the various strands of research that S.Bhatnagar has been involved in over the last decade. H.L.Prasad and Prashanth L.A. have been working in this area for over five years now and have been actively involved in various aspects of the research reported here. The entire book, in many ways, is a collection of the various strands of the research that has been primarily carried out by the authors themselves during the course of the last several years.

Reviews

From the reviews:

“The book under review summarizes the recent research on simultaneously perturbation problems. … The book provides a coverage of the known material in stochastic optimizations, such that both researchers and practitioners should find it useful. The text is well understandable, the book is clearly written and impressively printed. Theorems and algorithms are emphasized in coloured frames. Therefore, the book can be used as material for lectures dedicated to master students. … There are references at the end of every chapter.” (Werner H. Schmidt, Zentralblatt MATH, Vol. 1260, 2013)

Table of contents (14 chapters)

  • Introduction

    Bhatnagar, S. (et al.)

    Pages 3-12

  • Deterministic Algorithms for Local Search

    Bhatnagar, S. (et al.)

    Pages 13-15

  • Stochastic Approximation Algorithms

    Bhatnagar, S. (et al.)

    Pages 17-28

  • Kiefer-Wolfowitz Algorithm

    Bhatnagar, S. (et al.)

    Pages 31-39

  • Gradient Schemes with Simultaneous Perturbation Stochastic Approximation

    Bhatnagar, S. (et al.)

    Pages 41-76

Buy this book

eBook $119.00
price for USA (gross)
  • ISBN 978-1-4471-4285-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $159.00
price for USA
  • ISBN 978-1-4471-4284-3
  • 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
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Stochastic Recursive Algorithms for Optimization
Book Subtitle
Simultaneous Perturbation Methods
Authors
Series Title
Lecture Notes in Control and Information Sciences
Series Volume
434
Copyright
2013
Publisher
Springer-Verlag London
Copyright Holder
Springer-Verlag London
eBook ISBN
978-1-4471-4285-0
DOI
10.1007/978-1-4471-4285-0
Softcover ISBN
978-1-4471-4284-3
Series ISSN
0170-8643
Edition Number
1
Number of Pages
XVIII, 302
Number of Illustrations and Tables
12 b/w illustrations
Topics