A modified second‐order SPSA optimization algorithm for finite samples

DOI10.1002/acs.715zbMath1006.93073OpenAlexW2109722160MaRDI QIDQ4545955

James C. Spall, Xun Zhu

Publication date: 18 August 2002

Published in: International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/acs.715

Mathematics Subject Classification ID

Related Items (4)

Application of stochastic approximation techniques in neural modelling and control ⋮ Simultaneous perturbation stochastic approximation: towards one-measurement per iteration ⋮ Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization ⋮ Simultaneous perturbation Newton algorithms for simulation optimization

Cites Work

• Adaptive stochastic approximation by the simultaneous perturbation method
• Matrix Analysis
• Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
• On Asymptotic Normality in Stochastic Approximation

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