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Avtomatika i Telemekhanika, 2009, Issue 11, Pages 70–79
(Mi at554)
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This article is cited in 29 scientific papers (total in 29 papers)
Stochastic Systems
Algorithm for stochastic approximation with trial input perturbation in the nonstationary problem of optimization
A. T. Vakhitov, O. N. Granichin, L. S. Gurevich St. Petersburg State University, St. Petersburg, Russia
Abstract:
Consideration was given to the randomized stochastic approximation algorithm with simultaneous trial input perturbation and two measurements used to optimize the unconstrained nonstationary functional. The upper boundary of the mean-square residual was established under conditions of single differentiability of the functional and almost arbitrary noise. Efficiency of the algorithm was illustrated by an example of stabilization of the resulting estimates for the multidimensional case under dependent observation noise.
Citation:
A. T. Vakhitov, O. N. Granichin, L. S. Gurevich, “Algorithm for stochastic approximation with trial input perturbation in the nonstationary problem of optimization”, Avtomat. i Telemekh., 2009, no. 11, 70–79; Autom. Remote Control, 70:11 (2009), 1827–1835
Linking options:
https://www.mathnet.ru/eng/at554 https://www.mathnet.ru/eng/at/y2009/i11/p70
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