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A Kiefer-Wolfowitz algorithm with randomized differences
Chen, H. F. Duncan, Tyrone E. Pasik-Duncan, Bozenna
Chen, H. F.
Duncan, Tyrone E.
Pasik-Duncan, Bozenna
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Abstract
A Kiefer-Wolfowitz or simultaneous perturbation algorithm that uses either one-sided or two-sided randomized differences and truncations at randomly varying bounds is given in this paper. At each iteration of the algorithm only two observations are required in contrast to 2l observations, where l is the dimension, in the classical algorithm, The algorithm given here is shown to he convergent under only some mild conditions. A rate of convergence and an asymptotic normality of the algorithm are also established.
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©1999 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.
Date
1999-03
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IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
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00751340.pdf
Adobe PDF, 694.74 KB
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Keywords
Kiefer-wolfowitz algorithm, Perturbation algorithm, Simultaneous stochastic approximation, Stochastic approximation with randomized differences
Citation
Chen, HF; Duncan, TE; Pasik-Duncan, B. A Kiefer-Wolfowitz algorithm with randomized differences. IEEE TRANSACTIONS ON AUTOMATIC CONTROL. March 1999. 44(3) : 442-453