Introduction to Stochastic Search and Optimization: Estimation, Simulation, and Control

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John Wiley & Sons, Mar 11, 2005 - Mathematics - 618 pages
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A unique interdisciplinary foundation for real-world problemsolving

Stochastic search and optimization techniques are used in a vastnumber of areas, including aerospace, medicine, transportation, andfinance, to name but a few. Whether the goal is refining the designof a missile or aircraft, determining the effectiveness of a newdrug, developing the most efficient timing strategies for trafficsignals, or making investment decisions in order to increaseprofits, stochastic algorithms can help researchers andpractitioners devise optimal solutions to countless real-worldproblems.

Introduction to Stochastic Search and Optimization: Estimation,Simulation, and Control is a graduate-level introduction to theprinciples, algorithms, and practical aspects of stochasticoptimization, including applications drawn from engineering,statistics, and computer science. The treatment is both rigorousand broadly accessible, distinguishing this text from much of thecurrent literature and providing students, researchers, andpractitioners with a strong foundation for the often-daunting taskof solving real-world problems.

The text covers a broad range of today’s most widely usedstochastic algorithms, including:

  • Random search
  • Recursive linear estimation
  • Stochastic approximation
  • Simulated annealing
  • Genetic and evolutionary methods
  • Machine (reinforcement) learning
  • Model selection
  • Simulation-based optimization
  • Markov chain Monte Carlo
  • Optimal experimental design

The book includes over 130 examples, Web links to software anddata sets, more than 250 exercises for the reader, and an extensivelist of references. These features help make the text an invaluableresource for those interested in the theory or practice ofstochastic search and optimization.

 

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Auf Seite 509 und 510 gute Erklärung wann man Differenzierung und Integral tauschen kann.

Contents

1 Stochastic Search and Optimization Motivation and Supporting Results
1
2 Direct Methods for Stochastic Search
34
3 Recursive Estimation for Linear Models
65
4 Stochastic Approximation for Nonlinear RootFinding
95
5 Stochastic Gradient Form of Stochastic Approximation
126
6 Stochastic Approximation and the FiniteDifference Method
150
7 Simultaneous Perturbation Stochastic Approximation
176
8 AnnealingType Algorithms
208
15 SimulationBased Optimization II Stochastic Gradient and Sample Path Methods
409
16 Markov Chain Monte Carlo
436
17 Optimal Design for Experimental Inputs
464
Appendix A Selected Results from Multivariate Analysis
505
Appendix B Some Basic Tests in Statistics
515
Appendix C Probability Theory and Convergence
526
Appendix D Random Number Generation
538
Appendix E Markov Processes
547

9 Evolutionary Computation I Genetic Algorithms
231
10 Evolutionary Computation 11 General Methods and Theory
259
11 Reinforcement Learning via Temporal Differences
278
12 Statistical Methods for Optimization in Discrete Problems
300
13 Model Selection and Statistical Information
329
14 SimulationBased Optimization I Regeneration Common Random Numbers and Selection Methods
367
Answers to Selected Exercises
552
References
558
Frequently Used Notation
580
Index
583
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About the author (2005)

JAMES C. SPALL is a member of the Principal Professional Staff at the Johns Hopkins University, Applied Physics Laboratory, and is the Chair of the Applied and Computational Mathematics Program within the Johns Hopkins School of Engineering. Dr. Spall has published extensively in the areas of control and statistics and holds two U.S. patents. Among other appointments, he is Associate Editor at Large for the IEEE Transactions on Automatic Control and Contributing Editor for the Current Index to Statistics. Dr. Spall has received numerous research and publications awards and is an elected Fellow of the Institute of Electrical and Electronics Engineers (IEEE).

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