Stochastic Approximation Methods for Constrained and Unconstrained Systems
H.J. KushnerD.S. Clark
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Stochastic Approximation Methods for Constrained and Unconstrained Systems

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The book deals with a powerful and convenient approach to a great variety of types of problems of the recursive monte-carlo or stochastic approximation type. Such recu- sive algorithms occur frequently in stochastic and adaptive control and optimization theory and in statistical esti- tion theory. Typically, a sequence {X } of estimates of a n parameter is obtained by means of some recursive statistical th st procedure. The n estimate is some function of the n_l estimate and of some new observational data, and the aim is to study the convergence, rate of convergence, and the pa- metric depende...