The magic of SPSA

Gerencsér, László and Vágó, Zs. and Hill, S. D. (2008) The magic of SPSA. PAMM - Proceedings in Applied Mathematics and Mechanics, 7 (1). pp. 1062501-1062502. ISSN 0021-8928

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The basics of SPSA (simultaneous perturbation stochastic approximation) initiated and developed by J.C. Spall in his 1992 IEEE Trans. Automat. Contr. paper will be desctribed. We point out the advantages of SPSA over the finite difference stochastic approximation (FDSA) or Kiefer-Wolfowitz (KW) method. Its applicability in noise free optimization and in discrete optimization will be also briefly described.

Item Type: Article
Uncontrolled Keywords: recursive estimation; stochastic approximation.
Subjects: Q Science > QA Mathematics and Computer Science > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány
Depositing User: Eszter Nagy
Date Deposited: 11 Dec 2012 15:31
Last Modified: 11 Dec 2012 15:31

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