Stochastic Recursive Algorithms for Optimization

Simultaneous Perturbation Methods

  • S. Bhatnagar
  • H.L. Prasad
  • L.A. Prashanth
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 434)

Table of contents

  1. Front Matter
    Pages 1-15
  2. Introduction to Stochastic Recursive Algorithms

    1. Front Matter
      Pages 1-2
    2. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 3-12
    3. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 13-15
    4. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 17-28
  3. Gradient Estimation Schemes

    1. Front Matter
      Pages 29-30
    2. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 31-39
    3. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 41-76
    4. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 77-102
  4. Hessian Estimation Schemes

    1. Front Matter
      Pages 103-104
    2. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 105-131
    3. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 133-148
  5. Variations to the Basic Scheme

    1. Front Matter
      Pages 149-150
    2. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 151-166
    3. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 167-186
    4. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 187-220
  6. Applications

    1. Front Matter
      Pages 221-223
    2. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 225-241
    3. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 243-255
    4. S. Bhatnagar, H. Prasad, L. Prashanth
      Pages 257-280

About this book

Introduction

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.

Keywords

Gradient Estimation Hessian Estimation Optimization Techniques Simultaneous Perturbation Methods Stochastic Algorithms

Authors and affiliations

  • S. Bhatnagar
    • 1
  • H.L. Prasad
    • 2
  • L.A. Prashanth
    • 3
  1. 1., Department of Computer ScienceIndian Institute of ScienceBangaloreIndia
  2. 2., Department of Computer ScienceIndian Institute of ScienceBangaloreIndia
  3. 3., Department of Computer ScienceIndian Institute of ScienceBangaloreIndia

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4471-4285-0
  • Copyright Information Springer-Verlag London 2013
  • Publisher Name Springer, London
  • eBook Packages Engineering
  • Print ISBN 978-1-4471-4284-3
  • Online ISBN 978-1-4471-4285-0
  • Series Print ISSN 0170-8643
  • Series Online ISSN 1610-7411
  • About this book