Discrete Stochastic Approximation vis Simultaneous Difference Approximations

A stochastic approximation method for optimizing a class of discrete functions is considered. The procedure is a version of the Simultaneous Perturbation Stochastic Approximation (SPSA) method that has been modified to obtain a stochastic optimization method for cost functions defined on a discrete...

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Bibliographic Details
Main Authors: Hill, Stacy D, Gerencsdr, Laszlo, Vago, Zsuzsanna
Format: Conference Proceeding
Language:English
Online Access:Get full text
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Summary:A stochastic approximation method for optimizing a class of discrete functions is considered. The procedure is a version of the Simultaneous Perturbation Stochastic Approximation (SPSA) method that has been modified to obtain a stochastic optimization method for cost functions defined on a discrete set of points. We discuss the algorithm and examine its convergence and also the rate of convergence.