منابع مشابه
The magic of SPSA
where ǫ, the noise, is a random variable over some probability space (Ω,F ,P). The gradient of L, i.e. Lθ(θ) is not available, not even via physical measurements. To estimate it let θ be fixed, and take a random simultaneous perturbation (SP) of θ by a multiple of a vector ∆ = (∆1, ...,∆p) . Here ∆ is defined over an independent probability space (Ω,F ,P ). We assume that the components ∆i are ...
متن کاملThe Mathematics of Noise-Free SPSA
We consider discrete-time xed gain stochastic approximation processes that are de ned in terms of a random eld that is identically zero at some point . The boundedness of the estimator process is enforced by a resetting mechanism. Under appropriate technical conditions the estimator sequence is shown to converge to with geometric rate almost surely. This result is in striking contrast to classi...
متن کاملDiscrete Optimization via SPSA
We consider the use of a fixed gain version of SPSA (simultaneous perturbation stochastic approximation) for optimizing a class of discrete functions. The procedure has been modified to obtain an optimization method that is applicable to cost functions defined on a grid of points in Euclidean p-space having integer components. We discuss some related results on fixed gain SPSA and describe an a...
متن کاملGlobal Optimization via SPSA
A desire with iterative optimization techniques is that the algorithm reaches the global optimum rather than get stranded at a local optimum value. In this paper, we examine the theoretical and numerical global convergence properties of a certain “gradient free” stochastic approximation algorithm called “SPSA,” that has performed well in complex optimization problems. We establish two theorems ...
متن کاملthe effect of taftan pozzolan on the compressive strength of concrete in the environmental conditions of oman sea (chabahar port)
cement is an essential ingredient in the concrete buildings. for production of cement considerable amount of fossil fuel and electrical energy is consumed. on the other hand for generating one tone of portland cement, nearly one ton of carbon dioxide is released. it shows that 7 percent of the total released carbon dioxide in the world relates to the cement industry. considering ecological issu...
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ژورنال
عنوان ژورنال: PAMM
سال: 2007
ISSN: 1617-7061,1617-7061
DOI: 10.1002/pamm.200700337