Algorithm for stochastic approximation with trial input perturbation in the nonstationary problem of optimization

DOI10.1134/S000511790911006XzbMath1187.93141OpenAlexW2027975715MaRDI QIDQ2654952

L. S. Gurevich, Oleg N. Granichin, Alexander T. Vakhitov

Publication date: 22 January 2010

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s000511790911006x

zbMATH Keywords

mean-square residualrandomized stochastic approximation algorithmtrial input perturbation

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Perturbations in control/observation systems (93C73) Optimal stochastic control (93E20)

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Cites Work

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• Optimal order of accuracy of search algorithms in stochastic optimization
• Dynamic stochastic approximation of polynomial drifts
• Randomized algorithms for stochastic approximation under arbitrary disturbances
• Gradient methods for nonstationary unconstrained optimization problems
• Multivariate stochastic approximation using a simultaneous perturbation gradient approximation

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