Stochastic approximation and recursive algorithms and applications.
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This is the second edition of an excellent book on stochastic approximation, recursive algorithms and applications; for the review of the first edition from 1997 see Zbl 0914.60006. Although the structure of the book has not been changed, the authors have thoroughly revised it and added additional material, e.g., on the asymptotic behaviour of the algorithms and Markov and non-Markov state-dependent noise. The chapters covering applications have been expanded, in particular concerning examples in communications and adaptive control.
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(only showing first 100 items - show all)- Dynamic scheduling for switched processing systems with substantial service-mode switching times
- How does a stochastic optimization/approximation algorithm adapt to a randomly evolving optimum/root with jump Markov sample paths
- Tracking and identification of regime-switching systems using binary sensors
- Statistical inferences for termination of Markov type random search algorithms
- Robust adaptive Metropolis algorithm with coerced acceptance rate
- Sequential Monte Carlo EM for multivariate probit models
- Outlier robust stochastic approximation algorithm for identification of MIMO Hammerstein models
- Convergence and efficiency of adaptive importance sampling techniques with partial biasing
- Distributed resource allocation over random networks based on stochastic approximation
- A convergence analysis of the perturbed compositional gradient flow: averaging principle and normal deviations
- Two-phase iteration for value function approximation and hyperparameter optimization in Gaussian-kernel-based adaptive critic design
- Adaptive importance sampling for optimization under uncertainty problems
- Asymptotic behavior of truncated stochastic approximation procedures
- On smoothing, regularization, and averaging in stochastic approximation methods for stochastic variational inequality problems
- Predictive coarse-graining
- Stochastic heavy ball
- Asymptotic bias of stochastic gradient search
- Stochastic model predictive control with adaptive constraint tightening for non-conservative chance constraints satisfaction
- Generalization of a result of Fabian on the asymptotic normality of stochastic approximation
- Recurrent algorithms of structural classification analysis for complex organized information
- A unified framework for stochastic optimization
- Shape constraints in economics and operations research
- On convergence rates of game theoretic reinforcement learning algorithms
- A distributed one-step estimator
- General multilevel adaptations for stochastic approximation algorithms of Robbins-Monro and Polyak-Ruppert type
- Convergence conditions for the observed mean method in stochastic programming
- Fluctuations of the empirical measure of freezing Markov chains
- Simulation optimization of risk measures with adaptive risk levels
- Popularity signals in trial-offer markets with social influence and position bias
- Multivariate Student-\(t\) self-organizing maps
- Distributed time synchronization for networks with random delays and measurement noise
- Stochastic approximation and its applications
- Analytic approximations of queues with lightly- and heavily-correlated autoregressive service times
- Adaptive consumption behavior
- Optimal consumption under uncertainty, liquidity constraints, and bounded rationality
- General multilevel adaptations for stochastic approximation algorithms. II: CLTs
- Recursive estimation procedures for one-dimensional parameter of statistical models associated with semimartingales
- Convergence and convergence rate of stochastic gradient search in the case of multiple and non-isolated extrema
- Stochastic approximation on Riemannian manifolds
- Distributed stochastic gradient tracking methods
- An extended two-stage sequential optimization approach: properties and performance
- Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces
- Stability bounds and almost sure convergence of improved particle swarm optimization methods
- A selective overview of deep learning
- Conservative set valued fields, automatic differentiation, stochastic gradient methods and deep learning
- Stochastic approximation algorithms for superquantiles estimation
- On the convergence of stochastic approximations under a subgeometric ergodic Markov dynamic
- Incremental without replacement sampling in nonconvex optimization
- A stochastic primal-dual method for optimization with conditional value at risk constraints
- Concentration bounds for temporal difference learning with linear function approximation: the case of batch data and uniform sampling
- Unbiased estimation of the gradient of the log-likelihood in inverse problems
- Efficient stochastic optimisation by unadjusted Langevin Monte Carlo. Application to maximum marginal likelihood and empirical Bayesian estimation
- Numerical solutions for optimal control of stochastic Kolmogorov systems
- Normalization effects on shallow neural networks and related asymptotic expansions
- An ODE method to prove the geometric convergence of adaptive stochastic algorithms
- Simulation methods for robust risk assessment and the distorted mix approach
- Estimating a mixing distribution on the sphere using predictive recursion
- Multi-agent reinforcement learning: a selective overview of theories and algorithms
- Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization
- Stochastic consensus control of multi-agent systems under general noises and delays
- Adaptive sampling line search for local stochastic optimization with integer variables
- Distributed stochastic nonsmooth nonconvex optimization
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- A sieve stochastic gradient descent estimator for online nonparametric regression in Sobolev ellipsoids
- Empirical measure large deviations for reinforced chains on finite spaces
- The Barron space and the flow-induced function spaces for neural network models
- Relative entropy minimization over Hilbert spaces via Robbins-Monro
- Online adjoint methods for optimization of PDEs
- Generalized rescaled Pólya urn and its statistical application
- Sparse optimization on measures with over-parameterized gradient descent
- A class of generalized Ginzburg-Landau equations with random switching
- Filtering with degenerate observation noise: a stochastic approximation approach
- Learning with misattribution of reference dependence
- Approximating the operating characteristics of Bayesian uncertainty directed trial designs
- Convergence of constant step stochastic gradient descent for non-smooth non-convex functions
- A stochastic subgradient method for distributionally robust non-convex and non-smooth learning
- Stochastic Kolmogorov systems driven by wideband noises
- Linear convergence of cyclic SAGA
- Mini-batch learning of exponential family finite mixture models
- Generalization of \(h\)-convex stochastic processes and some classical inequalities
- A perturbation analysis of Markov chains models with time-varying parameters
- Why random reshuffling beats stochastic gradient descent
- Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization
- A simple Markovian individual-based model as a means of understanding forest dynamics
- Non asymptotic controls on a recursive superquantile approximation
- Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations
- Gene regulatory networks driven by intrinsic noise with two-time scales: a stochastic averaging approach
- The stochastic approximation method for estimation of a distribution function
- Nonlinear randomized urn models: a stochastic approximation viewpoint
- Asymptotic properties of consensus-type algorithms for networked systems with regime-switching topologies
- Measurement-based efficient resource allocation with demand-side adjustments
- Optimal stochastic extragradient schemes for pseudomonotone stochastic variational inequality problems and their variants
- Block trading: building up a stock position under a regime switching model
- Estimation of local degree distributions via local weighted averaging and Monte Carlo cross-validation
- Stochastic subgradient method converges on tame functions
- A novel technique for stochastic root-finding: enhancing the search with adaptive d-ary search
- An approximation scheme for quasi-stationary distributions of killed diffusions
- Online estimation of the asymptotic variance for averaged stochastic gradient algorithms
- Stochastic proximal-gradient algorithms for penalized mixed models
- Control of vehicle platoons for highway safety and efficient utility: consensus with communications and vehicle dynamics
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