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Consideration was given to the randomized stochastic approximation algorithm with simultaneous trial input perturbation and two measurements used to optimize the unconstrained nonstationary functional. The upper boundary of the mean-square residual was established under conditions of single differentiability of the functional and almost arbitrary noise. Efficiency of the algorithm was illustrated by an example of stabilization of the resulting estimates for the multidimensional case under dependent observation noise.
Translated title of the contribution | Алгоритм стохастической аппроксимации с пробным возмущением на входе в нестационарной задаче оптимизации |
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Original language | English |
Pages (from-to) | 1827-1835 |
Number of pages | 9 |
Journal | Automation and Remote Control |
Volume | 70 |
Issue number | 11 |
DOIs | |
State | Published - Nov 2009 |
ID: 5014786