AMS eBook CollectionsOne of the world's most respected mathematical collections, available in digital format for your library or institution
Stochastic Approximation and Recursive Estimation
About this Title
M. B. Nevel′son, Nagoya University, Japan and R. Z. Has′minskiĭ, Max Planck Institute, Leipzig, Germany. Translated by Israel Program for Scientific Translations
Publication: Translations of Mathematical Monographs
Publication Year:
1976; Volume 47
ISBNs: 978-0-8218-0906-8 (print); 978-1-4704-4462-4 (online)
DOI: https://doi.org/10.1090/mmono/047
MathSciNet review: MR0423714
MSC: Primary 62L20
Table of Contents
Front/Back Matter
Chapters
- Preface
- Introduction
- Elements of probability and martingales
- Discrete time Markov processes
- Markov processes and stochastic equations
- Convergence of stochastic approximation procedures. I
- Convergence of stochastic approximation procedures. II
- Asymptotic normality of the Robbins-Monro procedure
- Some modifications of stochastic approximation procedures
- Recursive estimation (discrete time)
- Recursive estimation (continuous time)
- Recursive estimation with a control parameter