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Cambridge Tracts in Mathematics : Stochastic Approximation Series Number 58 - M.T. Wasan

Cambridge Tracts in Mathematics

Stochastic Approximation Series Number 58

By: M.T. Wasan, B. Bollobas (Editor), W. Fulton (Editor), A. Katok (Editor), F. Kirwan (Editor)


Published: 2nd August 2004
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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.

The Robbins-Monro method
The Kiefer-Wolfowitz method
Multivariate stochastic-approximation methods
Asymptotic normality
The approximation for continuous random processes
Up-and-down method
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780521604857
ISBN-10: 0521604850
Series: Cambridge Tracts in Mathematics
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 216
Published: 2nd August 2004
Publisher: Cambridge University Press
Country of Publication: GB
Dimensions (cm): 21.6 x 14.0  x 1.3
Weight (kg): 0.28