Stochastic Approximation

A rigorous mathematical treatment of the technique for studying the properties of an experimental situation.

M. T. Wasan (Author)

9780521604857, Cambridge University Press

Paperback, published 3 June 2004

216 pages
21.6 x 14 x 1.3 cm, 0.28 kg

Stochastic approximation is a relatively new technique for studying the properties of an experimental situation; it has important applications in fields such as medicine and engineering. The subject can be treated either largely as a branch of pure mathematics, or else from an empirical and practical angle. In this book, Dr Wasan gives a rigorous mathematical treatment of the subject, drawing together the scattered results of a number of authors. He discusses the conditions under which the method gives a valid approximation to the required solution; methods for optimal choice of parameters to hasten convergence; the comparison of the method with other techniques. The discussion and proofs of theorems are given in enough detail to make them easy to follow, while a number of interesting examples show how the techniques may be applied in many fields.

Preface
1. Introduction
2. The Robbins-Monro method
3. The Kiefer-Wolfowitz method
4. Applications
5. Multivariate stochastic-approximation methods
6. Asymptotic normality
7. The approximation for continuous random processes
8. Up-and-down method
Appendices
Bibliography
Index.

Subject Areas: Probability & statistics [PBT]