Stochastic approximation and its applications
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Estimating unknown parameters based on observation data is the basic problem for stochastic modeling. Some of the methods of estimation can be transformed into methods for searching for zeroes \(x^\circ\) of an unknown function \(f(\cdot): f(x^\circ)=0\). \textit{H. Robbins} and \textit{S. Monro} [Ann. Math. Stat. 22, 400-407 (1951; Zbl 0054.05901)] developed an algorithm or stochastic approximation method for solving such problems. The present author introduces a modified technique termed as expanding truncation technique combined with the trajectory-subsequence (TS) method to study problems of estimation via stochastic approximation. The contents of the book are as follows: Chapter 1: Robbins-Monro algorithm; Chapter 2: Stochastic approximation algorithms with expanding truncations; Chapter 3: Asymptotic properties of stochastic approximation algorithms; Chapter 4: Optimization by stochastic approximation; Chapter 5: Application to signal processing; Chapter 6: Application to systems and control. The book is written in theorem/proof format and should be of interest to those who work in the theory of stochastic approximation and related applications.
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