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.

Язык оригиналаАнглийский
Название основной публикации2009 IEEE CONTROL APPLICATIONS CCA & INTELLIGENT CONTROL (ISIC), VOLS 1-3
ИздательIEEE Canada
Страницы1415-1420
Число страниц6
ISBN (печатное издание)978-1-4244-4601-8
DOI
СостояниеОпубликовано - 2009
СобытиеIEEE International Conference on Control Applications/International Symposium on Intelligent Control - St Petersburg
Продолжительность: 8 июл 200910 июл 2009

Серия публикаций

НазваниеIEEE International Conference on Control Applications
ИздательIEEE
ISSN (печатное издание)1085-1992

конференция

конференцияIEEE International Conference on Control Applications/International Symposium on Intelligent Control
ГородSt Petersburg
Период8/07/0910/07/09

ID: 74014489