A one-measurement form of simultaneous perturbation stochastic approximation

DOI10.1016/S0005-1098(96)00149-5zbMATH Open0867.93086OpenAlexW2012117977MaRDI QIDQ674970FDOQ674970

Authors: James C. Spall 

Publication date: 7 August 1997

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0005-1098(96)00149-5

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zbMATH Keywords

stochastic optimizationgradient approximations

Mathematics Subject Classification ID

Stochastic approximation (62L20) Stochastic systems and control (93E99)

Cites Work

• Acceleration of Stochastic Approximation by Averaging
• Constrained optimization via stochastic approximation with a simultaneous perturbation gradient approximation
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• On Asymptotic Normality in Stochastic Approximation
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• Multivariate stochastic approximation using a simultaneous perturbation gradient approximation
• On the use of an SPSA-based model-free controller in quality improvement
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Cited In (33)

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• Stochastic approximation with nondecaying gain: Error bound and data‐driven gain‐tuning
• The stochastic approximation method for the estimation of a multivariate probability density
• Three-string inharmonic networks
• Simultaneous perturbation stochastic approximation: towards one-measurement per iteration
• Recursive estimators of integrated squared density derivatives
• Designing inharmonic strings
• Simulation response optimization via direct conjugate direction method
• Adaptive control using stochastic approach for unknown but bounded disturbances and its application in balancing control
• Variance-constrained actor-critic algorithms for discounted and average reward MDPs
• No-regret learning for repeated non-cooperative games with lossy bandits
• Stochastic approximation for expensive one-bit feedback systems
• Actor-critic algorithms for hierarchical Markov decision processes
• A randomized stochastic optimization algorithm: its estimation accuracy
• The multivariate Révész's online estimator of a regression function and its averaging
• Online estimation of hazard rate under random censoring
• Multiscale Q-learning with linear function approximation
• Simultaneous perturbation Newton algorithms for simulation optimization
• An alternating variable method with varying replications for simulation response optimization
• Sampled-data extremum-seeking framework for constrained optimization of nonlinear dynamical systems
• Online estimation of integrated squared density derivatives
• A compact law of the iterated logarithm for online estimator of hazard rate under random censoring
• Stochastic approximation search algorithms with randomization at the input
• Simultaneous perturbation stochastic approximation with norm-limited update vector
• Accelerated randomized stochastic optimization.
• On stochastic extremum seeking via adaptive perturbation-demodulation loop
• Stochastic relaxed inertial forward-backward-forward splitting for monotone inclusions in Hilbert spaces
• Revisiting the ODE method for recursive algorithms: fast convergence using quasi stochastic approximation
• New algorithms of the Q-learning type
• Reinforcement learning based algorithms for average cost Markov decision processes
• A companion for the Kiefer-Wolfowitz-Blum stochastic approximation algorithm
• Fuzzy age-dependent replacement policy and SPSA algorithm based-on fuzzy simulation
• Derivative-free optimization over multi-user MIMO networks

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