Stochastic approximation and recursive algorithms and applications/
Kushner, Harold J.
Stochastic approximation and recursive algorithms and applications/ Harold J. Kushner and G. George Yin - 2nd ed. - New York: Springer, 2003. - xxii, 474 p. ; 25 cm. - (Applications of Mathematics), 35 .
Introduction
1 Review of Continuous Time Models
1.1 Martingales and Martingale Inequalities
1.2 Stochastic Integration
1.3 Stochastic Differential Equations: Diffusions
1.4 Reflected Diffusions
1.5 Processes with Jumps
2 Controlled Markov Chains
2.1 Recursive Equations for the Cost
2.2 Optimal Stopping Problems
2.3 Discounted Cost
2.4 Control to a Target Set and Contraction Mappings
2.5 Finite Time Control Problems
3 Dynamic Programming Equations
3.1 Functionals of Uncontrolled Processes
3.2 The Optimal Stopping Problem
3.3 Control Until a Target Set Is Reached
3.4 A Discounted Problem with a Target Set and Reflection
3.5 Average Cost Per Unit Time
4 Markov Chain Approximation Method: Introduction
4.1 Markov Chain Approximation
4.2 Continuous Time Interpolation
4.3 A Markov Chain Interpolation
4.4 A Random Walk Approximation
4.5 A Deterministic Discounted Problem
4.6 Deterministic Relaxed Controls
5 Construction of the Approximating Markov Chains
5.1 One Dimensional Examples
5.2 Numerical Simplifications
5.3 The General Finite Difference Method
5.4 A Direct Construction
5.5 Variable Grids
5.6 Jump Diffusion Processes
5.7 Reflecting Boundaries
5.8 Dynamic Programming Equations
5.9 Controlled and State Dependent Variance
6 Computational Methods for Controlled Markov Chains
6.1 The Problem Formulation
6.2 Classical Iterative Methods
6.3 Error Bounds
6.4 Accelerated Jacobi and Gauss-Seidel Methods
6.5 Domain Decomposition
6.6 Coarse Grid-Fine Grid Solutions
6.7 A Multigrid Method
6.8 Linear Programming
7 The Ergodic Cost Problem: Formulation and Algorithms
7.1 Formulation of the Control Problem
7.2 A Jacobi Type Iteration
7.3 Approximation in Policy Space
7.4 Numerical Methods
7.5 The Control Problem
7.6 The Interpolated Process
7.7 Computations
7.8 Boundary Costs and Controls
8 Heavy Traffic and Singular Control
0387008942
Recursive functions
Stochastic approximation
Algorithms
519.22 / KUS/S
Stochastic approximation and recursive algorithms and applications/ Harold J. Kushner and G. George Yin - 2nd ed. - New York: Springer, 2003. - xxii, 474 p. ; 25 cm. - (Applications of Mathematics), 35 .
Introduction
1 Review of Continuous Time Models
1.1 Martingales and Martingale Inequalities
1.2 Stochastic Integration
1.3 Stochastic Differential Equations: Diffusions
1.4 Reflected Diffusions
1.5 Processes with Jumps
2 Controlled Markov Chains
2.1 Recursive Equations for the Cost
2.2 Optimal Stopping Problems
2.3 Discounted Cost
2.4 Control to a Target Set and Contraction Mappings
2.5 Finite Time Control Problems
3 Dynamic Programming Equations
3.1 Functionals of Uncontrolled Processes
3.2 The Optimal Stopping Problem
3.3 Control Until a Target Set Is Reached
3.4 A Discounted Problem with a Target Set and Reflection
3.5 Average Cost Per Unit Time
4 Markov Chain Approximation Method: Introduction
4.1 Markov Chain Approximation
4.2 Continuous Time Interpolation
4.3 A Markov Chain Interpolation
4.4 A Random Walk Approximation
4.5 A Deterministic Discounted Problem
4.6 Deterministic Relaxed Controls
5 Construction of the Approximating Markov Chains
5.1 One Dimensional Examples
5.2 Numerical Simplifications
5.3 The General Finite Difference Method
5.4 A Direct Construction
5.5 Variable Grids
5.6 Jump Diffusion Processes
5.7 Reflecting Boundaries
5.8 Dynamic Programming Equations
5.9 Controlled and State Dependent Variance
6 Computational Methods for Controlled Markov Chains
6.1 The Problem Formulation
6.2 Classical Iterative Methods
6.3 Error Bounds
6.4 Accelerated Jacobi and Gauss-Seidel Methods
6.5 Domain Decomposition
6.6 Coarse Grid-Fine Grid Solutions
6.7 A Multigrid Method
6.8 Linear Programming
7 The Ergodic Cost Problem: Formulation and Algorithms
7.1 Formulation of the Control Problem
7.2 A Jacobi Type Iteration
7.3 Approximation in Policy Space
7.4 Numerical Methods
7.5 The Control Problem
7.6 The Interpolated Process
7.7 Computations
7.8 Boundary Costs and Controls
8 Heavy Traffic and Singular Control
0387008942
Recursive functions
Stochastic approximation
Algorithms
519.22 / KUS/S