Simultaneous perturbation stochastic approximation: towards one-measurement per iteration

DOI10.1007/s11075-023-01528-7zbMath1530.65065arXiv2203.03075MaRDI QIDQ6076930

Zi Xu, Yong Xia, Shiru Li

Publication date: 17 October 2023

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.03075

zbMATH Keywords

unconstrained optimizationstochastic algorithmSPSAapproximating gradient

Mathematics Subject Classification ID

Nonlinear programming (90C30) Numerical optimization and variational techniques (65K10) Stochastic approximation (62L20) Problems with incomplete information (optimization) (49N30)

Cites Work

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• A modified second‐order SPSA optimization algorithm for finite samples
• On Asymptotic Normality in Stochastic Approximation
• Stochastic Estimation of the Maximum of a Regression Function
• A Stochastic Approximation Method

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