A Stopping Rule for Simultaneous Perturbation Stochastic Approximation

被引：0
|
作者：
Wada, Takayuki [1 ]
Fujisaki, Yasumasa [1 ]
机构：
[1] Osaka Univ, Dept Informat & Phys Sci, Suita, Osaka 5650871, Japan
来源：
2013 EUROPEAN CONTROL CONFERENCE (ECC) | 2013年
关键词：
SPSA;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
A stopping rule is developed for simultaneous perturbation stochastic approximation (SPSA) which is an iterative method for minimizing an unknown objective function via its noise corrupted measurements. It is shown that, when the number of iterations reaches a constant determined by the stopping rule, SPSA for the quadratic convex problem provides us with a suboptimal solution which is close to the optimal solution with a specified probabilistic guarantee. Furthermore, the number is determined by the specified guarantee and polynomial in the problem size.
引用
收藏
页码：644 / 649
页数：6
相关论文
共 50 条
  • [1] A stopping rule for stochastic approximation
    Wada, Takayuki
    Fujisaki, Yasumasa
    [J]. AUTOMATICA, 2015, 60 : 1 - 6
  • [2] A Stopping Rule for Linear Stochastic Approximation
    Wada, Takayuki
    Itani, Takamitsu
    Fujisaki, Yasumasa
    [J]. 49TH IEEE CONFERENCE ON DECISION AND CONTROL (CDC), 2010, : 4171 - 4176
  • [3] ON A NEW STOPPING RULE FOR STOCHASTIC-APPROXIMATION
    STROUP, DF
    BRAUN, HI
    [J]. ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1982, 60 (04): : 535 - 554
  • [4] Simultaneous perturbation stochastic approximation for tidal models
    Altaf, Muhammad Umer
    Heemink, Arnold W.
    Verlaan, Martin
    Hoteit, Ibrahim
    [J]. OCEAN DYNAMICS, 2011, 61 (08) : 1093 - 1105
  • [5] Adaptive stochastic approximation by the simultaneous perturbation method
    Spall, JC
    [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2000, 45 (10) : 1839 - 1853
  • [6] Simultaneous perturbation stochastic approximation of nonsmooth functions
    Bartkute, Vaida
    Sakalauskas, Leonidas
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2007, 181 (03) : 1174 - 1188
  • [7] Simultaneous perturbation stochastic approximation for tidal models
    Muhammad Umer Altaf
    Arnold W. Heemink
    Martin Verlaan
    Ibrahim Hoteit
    [J]. Ocean Dynamics, 2011, 61 : 1093 - 1105
  • [8] Adaptive stochastic approximation by the simultaneous perturbation method
    Spall, JC
    [J]. PROCEEDINGS OF THE 37TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-4, 1998, : 3872 - 3879
  • [9] Formal Comparison of Simultaneous Perturbation Stochastic Approximation and Random Direction Stochastic Approximation
    Peng, Ducheng
    Chen, Yiwen
    Spall, James C.
    [J]. 2023 AMERICAN CONTROL CONFERENCE, ACC, 2023, : 744 - 749
  • [10] Parameter estimation using simultaneous perturbation stochastic approximation
    Hirokami, T
    Maeda, Y
    Tsukada, H
    [J]. ELECTRICAL ENGINEERING IN JAPAN, 2006, 154 (02) : 30 - 39
12345