A Kiefer-Wolfowitz algorithm with randomized differences

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	A Kiefer-Wolfowitz algorithm with randomized differences
	Chen, HF ; Duncan, TE ; Pasik-Duncan, B
	1999-03-01
发表期刊	IEEE TRANSACTIONS ON AUTOMATIC CONTROL
ISSN	0018-9286
卷号	44 期号:3 页码:442-453
摘要	A Kiefer-Wolfowitz or simultaneous perturbation algorithm that uses either one-sided or two-sided randomized differences and truncations at randomly varying bounds is given in this paper. At each iteration of the algorithm only two observations are required in contrast to 2l observations, where l is the dimension, in the classical algorithm, The algorithm given here is shown to he convergent under only some mild conditions. A rate of convergence and an asymptotic normality of the algorithm are also established.
关键词	Kiefer-Wolfowitz algorithm perturbation algorithm simultaneous stochastic approximation stochastic approximation with randomized differences
语种	英语
WOS研究方向	Automation & Control Systems ; Engineering
WOS类目	Automation & Control Systems ; Engineering, Electrical & Electronic
WOS记录号	WOS:000079081600003
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/14460
专题	中国科学院数学与系统科学研究院
通讯作者	Chen, HF
作者单位	1.Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China 2.Univ Kansas, Dept Math, Lawrence, KS 66045 USA
推荐引用方式 GB/T 7714	Chen, HF,Duncan, TE,Pasik-Duncan, B. A Kiefer-Wolfowitz algorithm with randomized differences[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,1999,44(3):442-453.
APA	Chen, HF,Duncan, TE,&Pasik-Duncan, B.(1999).A Kiefer-Wolfowitz algorithm with randomized differences.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,44(3),442-453.
MLA	Chen, HF,et al."A Kiefer-Wolfowitz algorithm with randomized differences".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 44.3(1999):442-453.