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    A Kiefer-Wolfowitz algorithm with randomized differences

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    00751340.pdf (694.7Kb)
    Issue Date
    1999-03
    Author
    Chen, H. F.
    Duncan, Tyrone E.
    Pasik-Duncan, Bozenna
    Publisher
    IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
    Type
    Article
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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.
    Description
    ©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.
    URI
    http://hdl.handle.net/1808/1300
    Collections
    • Aerospace Engineering Scholarly Works [39]
    • Mathematics Scholarly Works [247]
    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

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    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

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