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Introduction to Stochastic Search and Optimization: Estimation, Simulation, and Control

Introduction to Stochastic Search and Optimization: Estimation, Simulation, and Control

James C. Spall

ISBN: 978-0-471-44190-8

Mar 2005

618 pages



A unique interdisciplinary foundation for real-world problem solving

Stochastic search and optimization techniques are used in a vast number of areas, including aerospace, medicine, transportation, and finance, to name but a few. Whether the goal is refining the design of a missile or aircraft, determining the effectiveness of a new drug, developing the most efficient timing strategies for traffic signals, or making investment decisions in order to increase profits, stochastic algorithms can help researchers and practitioners devise optimal solutions to countless real-world problems.

Introduction to Stochastic Search and Optimization: Estimation, Simulation, and Control is a graduate-level introduction to the principles, algorithms, and practical aspects of stochastic optimization, including applications drawn from engineering, statistics, and computer science. The treatment is both rigorous and broadly accessible, distinguishing this text from much of the current literature and providing students, researchers, and practitioners with a strong foundation for the often-daunting task of solving real-world problems.

The text covers a broad range of today’s most widely used stochastic algorithms, including:

  • Random search
  • Recursive linear estimation
  • Stochastic approximation
  • Simulated annealing
  • Genetic and evolutionary methods
  • Machine (reinforcement) learning
  • Model selection
  • Simulation-based optimization
  • Markov chain Monte Carlo
  • Optimal experimental design

The book includes over 130 examples, Web links to software and data sets, more than 250 exercises for the reader, and an extensive list of references. These features help make the text an invaluable resource for those interested in the theory or practice of stochastic search and optimization.


Stochastic Search and Optimization: Motivation and Supporting Results.

Direct Methods for Stochastic Search.

Recursive Estimation for Linear Models.

Stochastic Approximation for Nonlinear Root-Finding.

Stochastic Gradient Form of Stochastic Approximation.

Stochastic Approximation and the Finite-Difference Method.

Simultaneous Perturbation Stochastic Approximation.

Annealing-Type Algorithms.

Evolutionary Computation I: Genetic Algorithms.

Evolutionary Computation II: General Methods and Theory.

Reinforcement Learning via Temporal Differences.

Statistical Methods for Optimization in Discrete Problems.

Model Selection and Statistical Information.

Simulation-Based Optimization I: Regeneration, Common Random Numbers, and Selection Methods.

Simulation-Based Optimization II: Stochastic Gradient and Sample Path Methods.

Markov Chain Monte Carlo.

Optimal Design for Experimental Inputs.

Appendix A. Selected Results from Multivariate Analysis.

Appendix B. Some Basic Tests in Statistics.

Appendix C. Probability Theory and Convergence.

Appendix D. Random Number Generation.

Appendix E. Markov Processes.

Answers to Selected Exercises.


Frequently Used Notation.


"This volume deserves a prominent role not only as a textbook, but also as a desk reference for anyone who must cope with noisy data…" (Computing, January 6, 2006)

"...well written and accessible to a wide audience...a welcome addition to the control and optimization community." (IEEE Control Systems Magazine, June 2005)

"…a step toward learning more about optimization techniques that often are not part of a statistician's training." (Journal of the American Statistical Association, December 2004)

“…provides easy access to a very broad, but related, collection of topics…” (Short Book Reviews, August 2004)

"Rather than simply present various stochastic search and optimization algorithms as a collection of distinct techniques, the book compares and contrasts the algorithms within a broader context of stochastic methods." (Technometrics, August 2004, Vol. 46, No. 3)