Stochastic Approximation and Its Applications by Han-Fu ChenStochastic Approximation and Its Applications by Han-Fu Chen

Stochastic Approximation and Its Applications

byHan-Fu Chen

Paperback | December 10, 2010

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This book presents the recent development of stochastic approximation algorithms with expanding truncations based on the TS (trajectory-subsequence) method, a newly developed method for convergence analysis. This approach is so powerful that conditions used for guaranteeing convergence have been considerably weakened in comparison with those applied in the classical probability and ODE methods. The general convergence theorem is presented for sample paths and is proved in a purely deterministic way. The sample-path description of theorems is particularly convenient for applications. Convergence theory takes both observation noise and structural error of the regression function into consideration. Convergence rates, asymptotic normality and other asymptotic properties are presented as well. Applications of the developed theory to global optimization, blind channel identification, adaptive filtering, system parameter identification, adaptive stabilization and other problems arising from engineering fields are demonstrated.Audience: Researchers and students of both graduate and undergraduate levels in systems and control, optimization, signal processing, communication and statistics.
Title:Stochastic Approximation and Its ApplicationsFormat:PaperbackDimensions:360 pages, 23.5 × 15.5 × 0.1 inPublished:December 10, 2010Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:1441952284

ISBN - 13:9781441952288


Table of Contents

Preface. Acknowledgments. 1. Robbins-Monro Algorithm. 2. Stochastic Approximation Algorithms with Expanding Truncations. 3. Asymptotic Properties of Stochastic Approximation Algorithms. 4. Optimization by Stochastic Approximation. 5. Applications To Signal Processing. 6. Application to Systems and Control. 7. Appendices. References. Index.