A stochastic approximation frame algorithm with adaptive directions

MaRDI QIDQ3402794zbMATH OpenFDO

Authors Zi Xu, Yuhong Dai

Publication date 12 February 2010

zbMATH Keywords

adaptive directionsconjugate gradientextremumnumerical experimentsRobbins-Monro algorithmrootstochastic approximation

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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(11)

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• A new hybrid stochastic approximation algorithm
• An online conjugate gradient algorithm for large-scale data analysis in machine learning
• Stochastic approximation with series of delayed observations
• Adaptive stochastic approximation by the simultaneous perturbation method
• New combinatorial direction stochastic approximation algorithms
• Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
• Stochastic approximation and compound delayed observations with independent random time delay distribution
• Simultaneous perturbation stochastic approximation: towards one-measurement per iteration
• A stochastic conjugate gradient method for the approximation of functions
• A combined direction stochastic approximation algorithm

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