Stochastic Approximation on Discrete Sets Using Simultaneous Perturbation Difference Approximations
نویسندگان
چکیده
A stochastic approximation method for optimizing a class of discrete functions is considered. The procedure is a version of the Simultaneous Perturbation Stochastic Approximation (SPSA) method that has been modified to obtain a stochastic optimization method for cost functions defined on a grid of points in Euclidean p-space having integer components. We discuss the algorithm and examine its convergence properties.
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