• DocumentCode
    700799
  • Title

    Rate of convergence of moments of Spall´s SPSA method

  • Author

    Gerencser, Laszlo

  • Author_Institution
    Comput. & Autom. Inst., Budapest, Hungary
  • fYear
    1997
  • fDate
    1-7 July 1997
  • Firstpage
    2192
  • Lastpage
    2197
  • Abstract
    It is proved that the sequence of recursive estimators for function minimization generated by Spall´s method combined with a suitable restarting mechanism converges under certain conditions with rate O(n-β/2) with some β > 0, the best value being β = 2/3, where the rate is measured by the Lq-norm of the estimation error for any I ≤ q <; ∞. Using a higher order approximation scheme for the derivative, β can be made arbitrarily close to 1/2. The method has potential applications in direct stochastic adaptive control.
  • Keywords
    adaptive control; convergence of numerical methods; method of moments; minimisation; recursive estimation; Spall SPSA method; direct stochastic adaptive control; estimation error; function minimization; moments; recursive estimators; restarting mechanism; Approximation methods; Compounds; Convergence; Estimation; Noise; Noise measurement; Random variables; estimation; linear identification; stochastic;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Control Conference (ECC), 1997 European
  • Conference_Location
    Brussels
  • Print_ISBN
    978-3-9524269-0-6
  • Type

    conf

  • Filename
    7082430
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=700799