Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
نویسندگان
چکیده
منابع مشابه
Correction to "Optimal random perturbations for stochastic approximation using a simultaneous perturbation gradient approximation"
The simultaneous perturbation stochastic approximation (SPSA) algorithm has recently attracted considerable attention for optimization problems where it is di cult or impossible to obtain a direct gradient of the objective (say, loss) function. The approach is based on a highly e cient simultaneous perturbation approximation to the gradient based on loss function measurements. SPSA is based on ...
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The sequence of recursive estimators for function minimization generated by Spall’s simultaneous perturbation stochastic approximation (SPSA) method, presented in [25], combined with a suitable restarting mechanism is considered. It is proved that this sequence converges under certain conditions with rate O(n ) for some >0, the best value being = 2=3, where the rate is measured by the Lq-norm o...
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A simultaneous perturbation stochastic approximation (SPSA) method has been developed in this paper, using the operators of perturbation with the Lipschitz density function. This model enables us to use the approximation of the objective function by twice differentiable functions and to present their gradients by volume integrals. The calculus of the stochastic gradient by means of this present...
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ژورنال
عنوان ژورنال: IEEE Transactions on Automatic Control
سال: 1992
ISSN: 0018-9286
DOI: 10.1109/9.119632