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Stochastic approximation and recursive algorithms and applications. 2nd ed. (English) Zbl 1026.62084
Applications of Mathematics. 35. New York, NY: Springer. xxii, 474 p. (2003).
This is the second edition of an excellent book on stochastic approximation, recursive algorithms and applications; for the review of the first edition from 1997 see Zbl 0914.60006. Although the structure of the book has not been changed, the authors have thoroughly revised it and added additional material, e.g., on the asymptotic behaviour of the algorithms and Markov and non-Markov state-dependent noise. The chapters covering applications have been expanded, in particular concerning examples in communications and adaptive control.

MSC:
62L20 Stochastic approximation
62-02 Research exposition (monographs, survey articles) pertaining to statistics
60-02 Research exposition (monographs, survey articles) pertaining to probability theory
60K99 Special processes
65C50 Other computational problems in probability (MSC2010)
65C60 Computational problems in statistics (MSC2010)
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