Stochastic Approximation: A Dynamical Systems Viewpoint
Vivek S Borkar
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Stochastic Approximation: A Dynamical Systems Viewpoint

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This book serves as an advanced text for a graduate course on stochastic algorithms for the students of probability and statistics, engineering, economics and machine learning. This second edition gives a comprehensive treatment of stochastic approximation algorithms based on the ordinary differential equation (ODE) approach which analyses the algorithm in terms of a limiting ODE. It has a streamlined treatment of the classical convergence analysis and includes several recent developments such as concentration bounds, avoidance of traps, stability tests, distributed and asynchronous schemes, m...