A stochastic approximation algorithm with multiplicative step size modification
نویسندگان
چکیده
منابع مشابه
A stochastic approximation algorithm with multiplicative step size modification
An algorithm of searching a zero of an unknown function φ : R → R is considered: xt = xt−1 − γt−1yt, t = 1, 2, . . ., where yt = φ(xt−1) + ξt is the value of φ measured at xt−1 and ξt is the measurement error. The step sizes γt > 0 are modified in the course of the algorithm according to the rule: γt = min{u γt−1, ḡ} if yt−1yt > 0, and γt = d γt−1, otherwise, where 0 < d < 1 < u, ḡ > 0. That is...
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ژورنال
عنوان ژورنال: Mathematical Methods of Statistics
سال: 2009
ISSN: 1066-5307,1934-8045
DOI: 10.3103/s1066530709020057