Adaptive stochastic approximation algorithm (Q1689446)
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scientific article; zbMATH DE number 6825426
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| English | Adaptive stochastic approximation algorithm |
scientific article; zbMATH DE number 6825426 |
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Adaptive stochastic approximation algorithm (English)
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12 January 2018
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The authors propose a new adaptive step size scheme for the stochastic approximation algorithms based on the tracking of previously noisy function values. Numerical expriments verify better performance of the proposed algorithm with adaptive step sizes compared to the existing algorithms.
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unconstrained optimization
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stochastic optimization
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stochastic approximation
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noisy function
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adaptive step size
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gradient method
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descent direction
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numerical experiment
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algorithm
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0.862575113773346
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0.8519092202186584
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0.8462699055671692
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0.8460837006568909
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0.8406938314437866
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