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Stochastic approximation

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Abstract

This is a brief overview of old and new developments in the theory and applications of stochastic approximation, an iterative scheme for statistical computation of certain kinds that has also found many engineering applications.

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Suggested Reading

  1. K B Athreya, M Delampady and T Krishnan, Markov Chain Monte Carlo methods, series of articles in Resonance, Vol.8, Nos.4,7,10,12, 2003.

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  2. M Duflo, Random Iterative Models, Springer Verlag, Heidelberg, 1997.

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  3. J C Spall, Introduction to Stochastic Search and Optimization, John Wiley and Sons, Hoboken, NJ, 2003.

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Authors and Affiliations

  1. Department of Electrical Engineering, Indian Institute of Technology Bombay, Powai, Mumbai, 400 076, India

    Vivek S. Borkar

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  1. Vivek S. Borkar
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Correspondence to Vivek S. Borkar.

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V S Borkar is the Institute Chair Professor of Electrical Engineering at IIT Bombay. His research interests are stochastic optimization, theory, algorithms and applications.

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Borkar, V.S. Stochastic approximation. Reson 18, 1086–1094 (2013). https://doi.org/10.1007/s12045-013-0136-x

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  • DOI: https://doi.org/10.1007/s12045-013-0136-x

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