AN IMPROVED SPSA ALGORITHM FOR STOCHASTIC OPTIMIZATION WITH BOUND CONSTRAINTS
نویسندگان
چکیده
منابع مشابه
An Improved Spsa Algorithm for Stochastic Optimization with Bound Constraints
We show that the Simultaneous Perturbation Stochastic Approximation (SPSA) algorithm with projection may exhibit slow convergence in constrained stochastic optimization problems when the optimum is situated on the constraints. The cause of the slow convergence is a geometric interaction between the projection operator and the SPSA gradient estimate. The effect of this interaction can be describ...
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ژورنال
عنوان ژورنال: IFAC Proceedings Volumes
سال: 2005
ISSN: 1474-6670
DOI: 10.3182/20050703-6-cz-1902.00360