Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Research › peer-review
Simultaneous perturbation stochastic approximation (SPSA) algorithm is also often referred as a Kiefer-Wolfowitz algorithm with randomized differences. Algorithms of this type are widely applied in field of intelligent control for optimization purposes, especially in a high-dimensional and noisy setting. In such problems it is often important to track the drifting minimum point, adapting to changing environment. In this paper application of the fixed gain SPSA to the minimum tracking problem for the non-constrained optimization is considered. The upper bound of mean square estimation error is determined in case of once differentiable functional and almost arbitrary noises. Numerical simulation of the estimates stabilization for the multidimensional optimization with non-random noise is provided.
Original language | English |
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Title of host publication | 2009 IEEE CONTROL APPLICATIONS CCA & INTELLIGENT CONTROL (ISIC), VOLS 1-3 |
Publisher | IEEE Canada |
Pages | 1415-1420 |
Number of pages | 6 |
ISBN (Print) | 978-1-4244-4601-8 |
DOIs | |
State | Published - 2009 |
Event | IEEE International Conference on Control Applications/International Symposium on Intelligent Control - St Petersburg Duration: 8 Jul 2009 → 10 Jul 2009 |
Name | IEEE International Conference on Control Applications |
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Publisher | IEEE |
ISSN (Print) | 1085-1992 |
Conference | IEEE International Conference on Control Applications/International Symposium on Intelligent Control |
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City | St Petersburg |
Period | 8/07/09 → 10/07/09 |
ID: 74014489