Stochastic Recursive Algorithms for Optimization

All three authors have been extensively working in the area of stochastic control and optimization. S. Bhatnagar has worked for nearly 20 years in this area and has published extensively in both journals and conferences. This book in many ways summarizes the various strands of research that S.Bhatnagar has been involved in over the last decade. H.L.Prasad and Prashanth L.A. have been working in this area for over five years now and have been actively involved in various aspects of the research reported here. The entire book, in many ways, is a collection of the various strands of the research that has been primarily carried out by the authors themselves during the course of the last several years.

Part I: Introduction to Stochastic Recursive Algorithms.- Introduction.- Deterministic Algorithms for Local Search.- Stochastic Approximation Algorithms.- Part II: Gradient Estimation Schemes.- Kiefer-Wolfowitz Algorithm.- Gradient Schemes with Simultaneous Perturbation Stochastic Approximation.- Smoothed Functional Gradient Schemes.- Part III: Hessian Estimation Schemes.- Hessian Estimation with Simultaneous Perturbation Stochasti Approximation.- Smoothed Functional Hessian Schemes.- Part IV: Variations to the Basic Scheme.- Discrete Optimization.- Algorithms for Contrained Optimization.- Reinforcement Learning.- Part V: Applications.- Service Systems.- Road Traffic Control.- Communication Networks.