• DocumentCode
    841237
  • Title

    Stochastic approximation method with gradient averaging for unconstrained problems

  • Author

    Ruszczynski, Andrzej ; Syski, Wojciech

  • Author_Institution
    Technical University of Warsaw, Warszawa, Poland
  • Volume
    28
  • Issue
    12
  • fYear
    1983
  • fDate
    12/1/1983 12:00:00 AM
  • Firstpage
    1097
  • Lastpage
    1105
  • Abstract
    A stochastic approximation algorithm is studied, in which random gradient estimates are averaged by an auxiliary, filter. Convergence of the algorithm is proved under a rather general noise condition. A practical version of the method is described and numerical results are given.
  • Keywords
    Gradient methods; Lyapunov methods; Stochastic approximation; Approximation algorithms; Approximation methods; Automatic control; Convergence; Costs; Filters; Finite difference methods; Gradient methods; Stochastic processes; Stochastic resonance;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1983.1103184
  • Filename
    1103184
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=841237