DocumentCode
3314029
Title
An extension of the Kiefer-Wolfowitz stochastic approximation procedure
Author
Maeda, Yutaka
Author_Institution
Dept. of Electr. Eng., Kansai Univ., Osaka, Japan
fYear
1992
fDate
17-19 Sep 1992
Firstpage
315
Lastpage
318
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Systems Engineering, 1992., IEEE International Conference on
Conference_Location
Kobe
Print_ISBN
0-7803-0734-8
Type
conf
DOI
10.1109/ICSYSE.1992.236893
Filename
236893
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