## Multivariate Stochastic Approximation Using a Simultaneous Perturbation Gradient Approximation (1992)

Venue: | IEEE Transactions on Automatic Control |

Citations: | 212 - 14 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}

}

### Years of Citing Articles

### OpenURL

### 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.