Title :
An extension of the Kiefer-Wolfowitz stochastic approximation procedure
Author_Institution :
Dept. of Electr. Eng., Kansai Univ., Osaka, Japan
Abstract :
The Kiefer-Wolfowitz stochastic approximation procedure is utilized to find a maximum or a minimum point of a regression function. In the present work, an algorithm that is an extension of the usual Kiefer-Wolfowitz stochastic approximation procedure is proposed. The algorithm corresponds to an adaptive version of the usual Kiefer-Wolfowitz stochastic approximation procedure. The convergence of this algorithm is proved. The proposed algorithm has a faster convergence rate than the usual Kiefer-Wolfowitz procedure. A numerical simulation is shown
Keywords :
approximation theory; convergence of numerical methods; signal processing; Kiefer-Wolfowitz stochastic approximation; adaptive version; convergence; stochastic signal processing; Approximation algorithms; Convergence; Equations; Numerical simulation; Stochastic processes;
Conference_Titel :
Systems Engineering, 1992., IEEE International Conference on
Conference_Location :
Kobe
Print_ISBN :
0-7803-0734-8
DOI :
10.1109/ICSYSE.1992.236893
