DocumentCode
630888
Title
Rate of convergence analysis of discrete simultaneous perturbation stochastic approximation algorithm
Author
Qi Wang ; Spall, James C.
Author_Institution
Dept. of Appl. Math. & Stat., Johns Hopkins Univ., Baltimore, MD, USA
fYear
2013
fDate
17-19 June 2013
Firstpage
4771
Lastpage
4776
Abstract
A middle point discrete version of simultaneous perturbation stochastic approximation (DSPSA) algorithm was previously introduced to solve the discrete stochastic optimization problem. We consider the rate of convergence of DSPSA in this paper. This rate will allow for objective comparisons with other discrete stochastic optimization methods.
Keywords
approximation theory; discrete systems; optimisation; perturbation techniques; stochastic processes; DSPSA algorithm; convergence rate analysis; discrete simultaneous perturbation algorithm; discrete stochastic optimization; stochastic approximation algorithm; Approximation algorithms; Approximation methods; Convergence; Equations; Optimization; Upper bound; Vectors;
fLanguage
English
Publisher
ieee
Conference_Titel
American Control Conference (ACC), 2013
Conference_Location
Washington, DC
ISSN
0743-1619
Print_ISBN
978-1-4799-0177-7
Type
conf
DOI
10.1109/ACC.2013.6580576
Filename
6580576
Link To Document