Name: Stochastic Approximation and Recursive Algorithms and Applications By Harold Kushner
SKU: 9781441918475
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Stochastic Approximation and Recursive Algorithms and Applications Summary

Stochastic Approximation and Recursive Algorithms and Applications by Harold Kushner

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 Approximation and Recursive Algorithms and Applications Reviews

From the reviews of the second edition:

This is the second edition of an excellent book on stochastic approximation, recursive algorithms and applications ... . Although the structure of the book has not been changed, the authors have thoroughly revised it and added additional material ... . (Evelyn Buckwar, Zentralblatt MATH, Vol. 1026, 2004)

The book attempts to convince that ... algorithms naturally arise in many application areas ... . I do not hesitate to conclude that this book is exceptionally well written. The literature citation is extensive, and pertinent to the topics at hand, throughout. This book could be well suited to those at the level of the graduate researcher and upwards. (A. C. Brooms, Journal of the Royal Statistical Society Series A: Statistics in Society, Vol. 169 (3), 2006)

Introduction 1 Review of Continuous Time Models 1.1 Martingales and Martingale Inequalities 1.2 Stochastic Integration 1.3 Stochastic Differential Equations: Diffusions 1.4 Reflected Diffusions 1.5 Processes with Jumps 2 Controlled Markov Chains 2.1 Recursive Equations for the Cost 2.2 Optimal Stopping Problems 2.3 Discounted Cost 2.4 Control to a Target Set and Contraction Mappings 2.5 Finite Time Control Problems 3 Dynamic Programming Equations 3.1 Functionals of Uncontrolled Processes 3.2 The Optimal Stopping Problem 3.3 Control Until a Target Set Is Reached 3.4 A Discounted Problem with a Target Set and Reflection 3.5 Average Cost Per Unit Time 4 Markov Chain Approximation Method: Introduction 4.1 Markov Chain Approximation 4.2 Continuous Time Interpolation 4.3 A Markov Chain Interpolation 4.4 A Random Walk Approximation 4.5 A Deterministic Discounted Problem 4.6 Deterministic Relaxed Controls 5 Construction of the Approximating Markov Chains 5.1 One Dimensional Examples 5.2 Numerical Simplifications 5.3 The General Finite Difference Method 5.4 A Direct Construction 5.5 Variable Grids 5.6 Jump Diffusion Processes 5.7 Reflecting Boundaries 5.8 Dynamic Programming Equations 5.9 Controlled and State Dependent Variance 6 Computational Methods for Controlled Markov Chains 6.1 The Problem Formulation 6.2 Classical Iterative Methods 6.3 Error Bounds 6.4 Accelerated Jacobi and Gauss-Seidel Methods 6.5 Domain Decomposition 6.6 Coarse Grid-Fine Grid Solutions 6.7 A Multigrid Method 6.8 Linear Programming 7 The Ergodic Cost Problem: Formulation and Algorithms 7.1 Formulation of the Control Problem 7.2 A Jacobi Type Iteration 7.3 Approximation in Policy Space 7.4 Numerical Methods 7.5 The Control Problem 7.6 The Interpolated Process 7.7 Computations 7.8 Boundary Costs and Controls 8 Heavy Traffic and Singular Control 8.1 Motivating Examples &nb

Additional information

Sku

NLS9781441918475

ISBN 13

9781441918475

ISBN 10

1441918477

Title

Stochastic Approximation and Recursive Algorithms and Applications by Harold Kushner

Author

Harold Kushner

Series

Stochastic Modelling and Applied Probability

Condition

New

Binding type

Paperback

Publisher

Springer-Verlag New York Inc.

Year published

2010-11-24

Number of pages

478

Prizes

N/A

Cover note

Book picture is for illustrative purposes only, actual binding, cover or edition may vary.

Note

This is a new book - be the first to read this copy. With untouched pages and a perfect binding, your brand new copy is ready to be opened for the first time

Stochastic Approximation and Recursive Algorithms and Applications Harold Kushner

Stochastic Approximation and Recursive Algorithms and Applications by Harold Kushner

Summary

Stochastic Approximation and Recursive Algorithms and Applications Summary

Stochastic Approximation and Recursive Algorithms and Applications by Harold Kushner

Stochastic Approximation and Recursive Algorithms and Applications Reviews

Table of Contents

Additional information

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