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The DMV seminar "Stochastische Approximation und Optimierung zufalliger Systeme" was held at Blaubeuren, 28. 5. -4. 6. 1989. The goal was to give an approach to theory and application of stochas tic approximation in view of optimization problems, especially in engineering systems. These notes are based on the seminar lectures. They consist of three parts: I. Foundations of stochastic approximation (H. Walk); n. Applicational aspects of stochastic approximation (G. PHug); In. Applications to adaptation :ugorithms (L. Ljung). The prerequisites for reading this book are basic knowledge in probability, mathematical statistics, optimization. We would like to thank Prof. M. Barner and Prof. G. Fischer for the or ganization of the seminar. We also thank the participants for their cooperation and our assistants and secretaries for typing the manuscript. November 1991 L. Ljung, G. PHug, H. Walk Table of contents I Foundations of stochastic approximation (H. Walk) §1 Almost sure convergence of stochastic approximation procedures 2 §2 Recursive methods for linear problems 17 §3 Stochastic optimization under stochastic constraints 22 §4 A learning model; recursive density estimation 27 §5 Invariance principles in stochastic approximation 30 §6 On the theory of large deviations 43 References for Part I 45 11 Applicational aspects of stochastic approximation (G. PHug) §7 Markovian stochastic optimization and stochastic approximation procedures 53 §8 Asymptotic distributions 71 §9 Stopping times 79 §1O Applications of stochastic approximation methods 80 References for Part II 90 III Applications to adaptation algorithms (L.
This book presents a thorough development of the modern theory of stochastic approximation or recursive stochastic algorithms for both constrained and unconstrained problems. This second edition is a thorough revision, although the main features and structure remain unchanged. It contains many additional applications and results as well as more detailed discussion.
* Unique in its survey of the range of topics. * Contains a strong, interdisciplinary format that will appeal to both students and researchers. * Features exercises and web links to software and data sets.
The DMV seminar "Stochastische Approximation und Optimierung zufalliger Systeme" was held at Blaubeuren, 28. 5. -4. 6. 1989. The goal was to give an approach to theory and application of stochas tic approximation in view of optimization problems, especially in engineering systems. These notes are based on the seminar lectures. They consist of three parts: I. Foundations of stochastic approximation (H. Walk); n. Applicational aspects of stochastic approximation (G. PHug); In. Applications to adaptation :ugorithms (L. Ljung). The prerequisites for reading this book are basic knowledge in probability, mathematical statistics, optimization. We would like to thank Prof. M. Barner and Prof. G. Fischer for the or ganization of the seminar. We also thank the participants for their cooperation and our assistants and secretaries for typing the manuscript. November 1991 L. Ljung, G. PHug, H. Walk Table of contents I Foundations of stochastic approximation (H. Walk) §1 Almost sure convergence of stochastic approximation procedures 2 §2 Recursive methods for linear problems 17 §3 Stochastic optimization under stochastic constraints 22 §4 A learning model; recursive density estimation 27 §5 Invariance principles in stochastic approximation 30 §6 On the theory of large deviations 43 References for Part I 45 11 Applicational aspects of stochastic approximation (G. PHug) §7 Markovian stochastic optimization and stochastic approximation procedures 53 §8 Asymptotic distributions 71 §9 Stopping times 79 §1O Applications of stochastic approximation methods 80 References for Part II 90 III Applications to adaptation algorithms (L.
This book examines optimization problems that in practice involve random model parameters. It details the computation of robust optimal solutions, i.e., optimal solutions that are insensitive with respect to random parameter variations, where appropriate deterministic substitute problems are needed. Based on the probability distribution of the random data and using decision theoretical concepts, optimization problems under stochastic uncertainty are converted into appropriate deterministic substitute problems. Due to the probabilities and expectations involved, the book also shows how to apply approximative solution techniques. Several deterministic and stochastic approximation methods are provided: Taylor expansion methods, regression and response surface methods (RSM), probability inequalities, multiple linearization of survival/failure domains, discretization methods, convex approximation/deterministic descent directions/efficient points, stochastic approximation and gradient procedures and differentiation formulas for probabilities and expectations. In the third edition, this book further develops stochastic optimization methods. In particular, it now shows how to apply stochastic optimization methods to the approximate solution of important concrete problems arising in engineering, economics and operations research.
Ch. 1. Introduction / Gade Pandu Rangaiah -- ch. 2. Formulation and illustration of Luus-Jaakola optimization procedure / Rein Luus -- ch. 3. Adaptive random search and simulated annealing optimizers : algorithms and application issues / Jacek M. Jezowski, Grzegorz Poplewski and Roman Bochenek -- ch. 4. Genetic algorithms in process engineering : developments and implementation issues / Abdunnaser Younes, Ali Elkamel and Shawki Areibi -- ch. 5. Tabu search for global optimization of problems having continuous variables / Sim Mong Kai, Gade Pandu Rangaiah and Mekapati Srinivas -- ch. 6. Differential evolution : method, developments and chemical engineering applications / Chen Shaoqiang, Gade Pandu Rangaiah and Mekapati Srinivas -- ch. 7. Ant colony optimization : details of algorithms suitable for process engineering / V.K. Jayaraman [und weitere] -- ch. 8. Particle swarm optimization for solving NLP and MINLP in chemical engineering / Bassem Jarboui [und weitere] -- ch. 9. An introduction to the harmony search algorithm / Gordon Ingram and Tonghua Zhang -- ch. 10. Meta-heuristics : evaluation and reporting techniques / Abdunnaser Younes, Ali Elkamel and Shawki Areibi -- ch. 11. A hybrid approach for constraint handling in MINLP optimization using stochastic algorithms / G.A. Durand [und weitere] -- ch. 12. Application of Luus-Jaakola optimization procedure to model reduction, parameter estimation and optimal control / Rein Luus -- ch. 13. Phase stability and equilibrium calculations in reactive systems using differential evolution and tabu search / Adrian Bonilla-Petriciolet [und weitere] -- ch. 14. Differential evolution with tabu list for global optimization : evaluation of two versions on benchmark and phase stability problems / Mekapati Srinivas and Gade Pandu Rangaiah -- ch. 15. Application of adaptive random search optimization for solving industrial water allocation problem / Grzegorz Poplewski and Jacek M. Jezowski -- ch. 16. Genetic algorithms formulation for retrofitting heat exchanger network / Roman Bochenek and Jacek M. Jezowski -- ch. 17. Ant colony optimization for classification and feature selection / V.K. Jayaraman [und weitere] -- ch. 18. Constraint programming and genetic algorithm / Prakash R. Kotecha, Mani Bhushan and Ravindra D. Gudi -- ch. 19. Schemes and implementations of parallel stochastic optimization algorithms application of tabu search to chemical engineering problems / B. Lin and D.C. Miller
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.
This book covers not only foundational materials but also the most recent progresses made during the past few years on the area of machine learning algorithms. In spite of the intensive research and development in this area, there does not exist a systematic treatment to introduce the fundamental concepts and recent progresses on machine learning algorithms, especially on those based on stochastic optimization methods, randomized algorithms, nonconvex optimization, distributed and online learning, and projection free methods. This book will benefit the broad audience in the area of machine learning, artificial intelligence and mathematical programming community by presenting these recent developments in a tutorial style, starting from the basic building blocks to the most carefully designed and complicated algorithms for machine learning.