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Stochastic Approximation and Optimization of Random Systems : DMV Seminar - Lennart Ljung

Stochastic Approximation and Optimization of Random Systems

DMV Seminar

Paperback Published: 1992
ISBN: 9783764327330
Number Of Pages: 116

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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.

Foundations of stochastic approximation
Almost sure convergence of stochastic approximation proceduresp. 2
Recursive methods for linear problemsp. 17
Stochastic optimization under stochastic constraintsp. 22
A learning model; recursive density estimationp. 27
Invariance principles in stochastic approximationp. 30
On the theory of large deviationsp. 43
References for Part Ip. 45
Applicational aspects of stochastic approximation
Markovian stochastic optimization and stochastic approximation proceduresp. 53
Asymptotic distributionsp. 71
Stopping timesp. 79
Applications of stochastic approximation methodsp. 80
References for Part IIp. 90
Applications to adaptation algorithms
Adaptation and trackingp. 95
Algorithm developmentp. 96
Asymptotic Properties in the decreasing gain casep. 104
Estimation of the tracking ability of the algorithmsp. 105
References for Part IIIp. 113
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783764327330
ISBN-10: 3764327332
Series: DMV Seminar
Audience: General
Format: Paperback
Language: English
Number Of Pages: 116
Published: 1992
Publisher: Birkhauser Verlag AG
Country of Publication: CH
Dimensions (cm): 24.41 x 16.99  x 0.69
Weight (kg): 0.22

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