Simultaneous perturbation stochastic approximation: towards one-measurement per iteration

DOI10.1007/S11075-023-01528-7MaRDI QIDQ6076930zbMATH OpenFDO

Authors Shiru Li, Yong Xia, Zi Xu

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

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

Abstract: When measuring the value of a function to be minimized is not only expensive but also with noise, the popular simultaneous perturbation stochastic approximation (SPSA) algorithm requires only two function values in each iteration. In this paper, we propose a method requiring only one function measurement value per iteration in the average sense. We prove the strong convergence and asymptotic normality of the new algorithm. Experimental results show the effectiveness and potential of our algorithm.

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Cites work

• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• A Stochastic Approximation Method
• A modified second‐order SPSA optimization algorithm for finite samples
• A one-measurement form of simultaneous perturbation stochastic approximation
• A stochastic approximation frame algorithm with adaptive directions
• Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
• On Asymptotic Normality in Stochastic Approximation
• Optimal random perturbations for stochastic approximation using a simultaneous perturbation gradient approximation
• Simultaneous perturbation stochastic approximation of nonsmooth functions
• Statistical inferences for termination of Markov type random search algorithms
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• Stochastic approximation methods for constrained and unconstrained systems
• Testing Unconstrained Optimization Software

Cited in

(1)

• Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences

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