Title :
Stochastic approximation on discrete sets using simultaneous difference approximations
Author :
Hill, Stacy D. ; Gerencsér, László ; Vágó, Zsuzsanna
Author_Institution :
Appl. Phys. Laboratory, Johns Hopkins Univ., Laurel, MD, USA
fDate :
June 30 2004-July 2 2004
Abstract :
A stochastic approximation method for optimizing a class of discrete functions is considered. The procedure is a version of the simultaneous perturbation stochastic approximation (SPSA) method that has been modified to obtain a stochastic optimization method for cost functions defined on a grid of points in Euclidean p-space having integer components. We discuss the algorithm and examine its convergence properties.
Keywords :
approximation theory; stochastic programming; Euclidean p-space; difference approximations; discrete functions optimization; simultaneous perturbation stochastic approximation; stochastic optimization;
Conference_Titel :
American Control Conference, 2004. Proceedings of the 2004
Conference_Location :
Boston, MA, USA
Print_ISBN :
0-7803-8335-4
