Multivariate Stochastic Approximation Using a Simultaneous Perturbation Gradient Approximation (1992)
| Venue: | IEEE Transactions on Automatic Control |
| Citations: | 183 - 11 self |
BibTeX
@ARTICLE{Spall92multivariatestochastic,
author = {James C. Spall and Senior Member},
title = {Multivariate Stochastic Approximation Using a Simultaneous Perturbation Gradient Approximation},
journal = {IEEE Transactions on Automatic Control},
year = {1992},
volume = {37},
pages = {332--341}
}
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Abstract
Consider the problem of finding a root of the multivariate gradient equation that arises in function minimization. When only noisy measurements of the function are available, a stochastic approximation (SA) algorithm of the general Kiefer-Wolfowitz type is appropriate for estimating the root. This paper presents an SA algorithm that is based on a "simultaneous perturbation" gradient approximation instead of the standard finite difference approximation of Kiefer-Wolfowitz type procedures. Theory and numerical experience indicate that the algorithm presented here can be significanfiy more efficient than the standard finite difference-based algorithms in large-dimensional problems.
