Stochastic Recursive Algorithms for Optimization Simultaneous Perturbation Methods /

• Main Authors: Bhatnagar, S. (Author), Prasad, H.L. (Author), Prashanth, L.A. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: London : Springer London : Imprint: Springer, 2013.
• Series: Lecture Notes in Control and Information Sciences, 434
• Subjects: Engineering.; Systems theory.; Mathematical optimization.; Control.; Calculus of Variations and Optimal Control; Optimization.; Systems Theory, Control.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-1-4471-4285-0

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 fr...

Table of Contents:

• Part I: Introduction to Stochastic Recursive Algorithms
• Introduction
• Deterministic Algorithms for Local Search
• Stochastic Approximation Algorithms
• Part II: Gradient Estimation Schemes
• Kiefer-Wolfowitz Algorithm
• Gradient Schemes with Simultaneous Perturbation Stochastic Approximation
• Smoothed Functional Gradient Schemes
• Part III: Hessian Estimation Schemes
• Hessian Estimation with Simultaneous Perturbation Stochasti Approximation
• Smoothed Functional Hessian Schemes
• Part IV: Variations to the Basic Scheme
• Discrete Optimization
• Algorithms for Contrained Optimization
• Reinforcement Learning
• Part V: Applications
• Service Systems
• Road Traffic Control
• Communication Networks.