Stochastic Recursive Algorithms for Optimization
Title | Stochastic Recursive Algorithms for Optimization PDF eBook |
Author | S. Bhatnagar |
Publisher | Springer |
Pages | 310 |
Release | 2012-08-11 |
Genre | Technology & Engineering |
ISBN | 1447142853 |
Stochastic Recursive Algorithms for Optimization presents algorithms for constrained and unconstrained optimization and for reinforcement learning. Efficient perturbation approaches form a thread unifying all the algorithms considered. Simultaneous perturbation stochastic approximation and smooth fractional estimators for gradient- and Hessian-based methods are presented. These algorithms: • are easily implemented; • do not require an explicit system model; and • work with real or simulated data. Chapters on their application in service systems, vehicular traffic control and communications networks illustrate this point. The book is self-contained with necessary mathematical results placed in an appendix. The text provides easy-to-use, off-the-shelf algorithms that are given detailed mathematical treatment so the material presented will be of significant interest to practitioners, academic researchers and graduate students alike. The breadth of applications makes the book appropriate for reader from similarly diverse backgrounds: workers in relevant areas of computer science, control engineering, management science, applied mathematics, industrial engineering and operations research will find the content of value.
Stochastic Recursive Algorithms for Optimization
Title | Stochastic Recursive Algorithms for Optimization PDF eBook |
Author | S. Bhatnagar |
Publisher | Springer |
Pages | 302 |
Release | 2012-08-12 |
Genre | Technology & Engineering |
ISBN | 9781447142867 |
Stochastic Recursive Algorithms for Optimization presents algorithms for constrained and unconstrained optimization and for reinforcement learning. Efficient perturbation approaches form a thread unifying all the algorithms considered. Simultaneous perturbation stochastic approximation and smooth fractional estimators for gradient- and Hessian-based methods are presented. These algorithms: • are easily implemented; • do not require an explicit system model; and • work with real or simulated data. Chapters on their application in service systems, vehicular traffic control and communications networks illustrate this point. The book is self-contained with necessary mathematical results placed in an appendix. The text provides easy-to-use, off-the-shelf algorithms that are given detailed mathematical treatment so the material presented will be of significant interest to practitioners, academic researchers and graduate students alike. The breadth of applications makes the book appropriate for reader from similarly diverse backgrounds: workers in relevant areas of computer science, control engineering, management science, applied mathematics, industrial engineering and operations research will find the content of value.
Stochastic Approximation and Recursive Algorithms and Applications
Title | Stochastic Approximation and Recursive Algorithms and Applications PDF eBook |
Author | Harold Kushner |
Publisher | Springer Science & Business Media |
Pages | 485 |
Release | 2006-05-04 |
Genre | Mathematics |
ISBN | 038721769X |
This book presents a thorough development of the modern theory of stochastic approximation or recursive stochastic algorithms for both constrained and unconstrained problems. This second edition is a thorough revision, although the main features and structure remain unchanged. It contains many additional applications and results as well as more detailed discussion.
Stochastic Optimization
Title | Stochastic Optimization PDF eBook |
Author | Johannes Schneider |
Publisher | Springer Science & Business Media |
Pages | 551 |
Release | 2006-11-07 |
Genre | Computers |
ISBN | 3540345590 |
This book addresses stochastic optimization procedures in a broad manner. The first part offers an overview of relevant optimization philosophies; the second deals with benchmark problems in depth, by applying a selection of optimization procedures. Written primarily with scientists and students from the physical and engineering sciences in mind, this book addresses a larger community of all who wish to learn about stochastic optimization techniques and how to use them.
Stochastic Optimization Methods
Title | Stochastic Optimization Methods PDF eBook |
Author | Kurt Marti |
Publisher | Springer Science & Business Media |
Pages | 317 |
Release | 2005-12-05 |
Genre | Business & Economics |
ISBN | 3540268480 |
Optimization problems arising in practice involve random parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insensitive with respect to random parameter variations, deterministic substitute problems are needed. Based on the distribution of the random data, and using decision theoretical concepts, optimization problems under stochastic uncertainty are converted into deterministic substitute problems. Due to the occurring probabilities and expectations, approximative solution techniques must be applied. Deterministic and stochastic approximation methods and their analytical properties are provided: Taylor expansion, regression and response surface methods, probability inequalities, First Order Reliability Methods, convex approximation/deterministic descent directions/efficient points, stochastic approximation methods, differentiation of probability and mean value functions. Convergence results of the resulting iterative solution procedures are given.
Stochastic Approximation and Optimization of Random Systems
Title | Stochastic Approximation and Optimization of Random Systems PDF eBook |
Author | Lennart Ljung |
Publisher | Birkhauser |
Pages | 128 |
Release | 1992 |
Genre | Mathematics |
ISBN | 9780817627331 |
Introduction to Stochastic Search and Optimization
Title | Introduction to Stochastic Search and Optimization PDF eBook |
Author | James C. Spall |
Publisher | John Wiley & Sons |
Pages | 620 |
Release | 2005-03-11 |
Genre | Mathematics |
ISBN | 0471441902 |
* Unique in its survey of the range of topics. * Contains a strong, interdisciplinary format that will appeal to both students and researchers. * Features exercises and web links to software and data sets.