TY  - BOOK
AU  - Bhatnagar,S.
AU  - Prasad,H.L.
AU  - Prashanth,L.A.
ED  - SpringerLink (Online service)
TI  - Stochastic Recursive Algorithms for Optimization: Simultaneous Perturbation Methods 
T2  - Lecture Notes in Control and Information Sciences,
SN  - 9781447142850
AV  - TJ212-225 
U1  - 629.8 23
PY  - 2013///
CY  - London
PB  - Springer London, Imprint: Springer
KW  - Engineering
KW  - System theory
KW  - Calculus of variations
KW  - Control engineering
KW  - Control
KW  - Calculus of Variations and Optimal Control; Optimization
KW  - Systems Theory, Control
N1  - 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
N2  - 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 fractional estimators for gradient- and Hessian-based methods are presented. These algorithms: • are easily implemented; • do not require an explicit system model; and • work with real or simulated data. Chapters on their application in service systems, vehicular traffic control and communications networks illustrate this point. The book is self-contained with necessary mathematical results placed in an appendix. The text provides easy-to-use, off-the-shelf algorithms that are given detailed mathematical treatment so the material presented will be of significant interest to practitioners, academic researchers and graduate students alike. The breadth of applications makes the book appropriate for reader from similarly diverse backgrounds: workers in relevant areas of computer science, control engineering, management science, applied mathematics, industrial engineering and operations research will find the content of value
UR  - http://dx.doi.org/10.1007/978-1-4471-4285-0
ER  -