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 languageEnglish
Title of host publication2009 IEEE CONTROL APPLICATIONS CCA & INTELLIGENT CONTROL (ISIC), VOLS 1-3
PublisherIEEE Canada
Pages1415-1420
Number of pages6
ISBN (Print)978-1-4244-4601-8
DOIs
StatePublished - 2009
EventIEEE International Conference on Control Applications/International Symposium on Intelligent Control - St Petersburg
Duration: 8 Jul 200910 Jul 2009

Publication series

NameIEEE International Conference on Control Applications
PublisherIEEE
ISSN (Print)1085-1992

Conference

ConferenceIEEE International Conference on Control Applications/International Symposium on Intelligent Control
CitySt Petersburg
Period8/07/0910/07/09

    Research areas

  • STOCHASTIC-APPROXIMATION, ALGORITHM

ID: 74014489