Stochastic Learning and Optimization

A Sensitivity-Based Approach

  • Xi-Ren Cao

Table of contents

  1. Front Matter
    Pages I-XIX
  2. Introduction

    1. Front Matter
      Pages 1-1
    2. Xi-Ren Cao
      Pages 1-48
  3. Four Disciplines in Learning and Optimization

    1. Front Matter
      Pages 49-49
    2. Xi-Ren Cao
      Pages 51-146
    3. Xi-Ren Cao
      Pages 183-252
    4. Xi-Ren Cao
      Pages 253-287
    5. Xi-Ren Cao
      Pages 289-340
    6. Xi-Ren Cao
      Pages 341-383
  4. The Event-Based Optimization - A New Approach

    1. Front Matter
      Pages 385-385
    2. Xi-Ren Cao
      Pages 455-486
  5. Back Matter
    Pages 489-566

About this book

Introduction

Stochastic learning and optimization is a multidisciplinary subject that has wide applications in modern engineering, social, and financial problems, including those in Internet and wireless communications, manufacturing, robotics, logistics, biomedical systems, and investment science.  This book is unique in the following aspects.

  1. (Four areas in one book)  This book covers various disciplines in learning and optimization, including perturbation analysis (PA) of discrete-event dynamic systems, Markov decision processes (MDP)s), reinforcement learning (RL), and adaptive control, within a unified framework.
  2. (A simple approach to MDPs) This book introduces MDP theory through a simple approach based on performance difference formulas.  This approach leads to results for the n-bias optimality with long-run average-cost criteria and Blackwell's optimality without discounting.
  3. (Event-based optimization) This book introduces the recently developed event-based optimization approach, which opens up a research direction in overcoming or alleviating the difficulties due to the curse of dimensionality issue by utilizing the system's special features.
  4. (Sample-path construction) This book emphasizes physical interpretations based on the sample-path construction.

Keywords

Computer Markov Chains Markov decision processes Operations Research calculus ergodic systems event based optimization identification and adaptive control optimization perturbation analysis programming queueing systems reinforcement learning robot stochastic approximation

Authors and affiliations

  • Xi-Ren Cao
    • 1
  1. 1.Hong Kong University of Science and TechnologyKowloonHong Kong

Bibliographic information

  • DOI https://doi.org/10.1007/978-0-387-69082-7
  • Copyright Information Springer-Verlag US 2007
  • Publisher Name Springer, Boston, MA
  • eBook Packages Computer Science
  • Print ISBN 978-0-387-36787-3
  • Online ISBN 978-0-387-69082-7
  • About this book