Oberwolfach Seminars

Stochastic Approximation and Optimization of Random Systems

Authors: Ljung, Lennart, Pflug, Georg Ch., Walk, Harro

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About this book

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.

Table of contents (3 chapters)

Table of contents (3 chapters)

Buy this book

eBook $29.99
price for USA in USD (gross)
  • ISBN 978-3-0348-8609-3
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $39.95
price for USA in USD
  • ISBN 978-3-7643-2733-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Approximation and Optimization of Random Systems
Authors
Series Title
Oberwolfach Seminars
Series Volume
17
Copyright
1992
Publisher
Birkhäuser Basel
Copyright Holder
Springer Basel AG
eBook ISBN
978-3-0348-8609-3
DOI
10.1007/978-3-0348-8609-3
Softcover ISBN
978-3-7643-2733-0
Series ISSN
1661-237X
Edition Number
1
Number of Pages
VIII, 116
Topics