Stochastic approximation
著者
書誌事項
Stochastic approximation
（Cambridge tracts in mathematics and mathematical physics, no. 58）
Cambridge University Press, 1969
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注記
Bibliography: p. 195-199
Includes index
内容説明・目次
内容説明
Stochastic approximation is a relatively new technique for studying the properties of an experimental situation; it has important applications in fields such as medicine and engineering. The subject can be treated either largely as a branch of pure mathematics, or else from an empirical and practical angle. In this book, Dr Wasan gives a rigorous mathematical treatment of the subject, drawing together the scattered results of a number of authors. He discusses the conditions under which the method gives a valid approximation to the required solution; methods for optimal choice of parameters to hasten convergence; the comparison of the method with other techniques. The discussion and proofs of theorems are given in enough detail to make them easy to follow, while a number of interesting examples show how the techniques may be applied in many fields.
目次
- Preface
- 1. Introduction
- 2. The Robbins-Monro method
- 3. The Kiefer-Wolfowitz method
- 4. Applications
- 5. Multivariate stochastic-approximation methods
- 6. Asymptotic normality
- 7. The approximation for continuous random processes
- 8. Up-and-down method
- Appendices
- Bibliography
- Index.
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