- Date: 12 Feb. (Thu.)
- Place: West Wing, 6th floor, Colloquium Room and on the Web (zoom)
- Time: 16:00–17:30
- Speaker : George Yin (University of Connecticut)
- Title: Stochastic Approximation and Applications
- Abstract:
We will give an introduction to stochastic approximation
methods. It will begin with a discussion on what stochastic approximation is and
what problems can be solved by using stochastic approximation methods. The RM and KW algorithms will be introduced. An overview of the analysis (including convergence, rates of convergence, weak convergence, efficiency, as well as time-varying parameter problems, and tracking algorithms etc.) is provided. Several application examples will be mentioned.
A reference for the talk is the book by H.J. Kushner and G. Yin,
Stochastic Approximation and Recursive Algorithms and Applications, 2nd Edition,
Springer-Verlag, New York, 2003, [Applications of Mathematics, Volume 35].
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