ON DYNAMIC KIEFER-WOLFOWITZ STOCHASTIC APPROXIMATION PROCEDURES
نویسندگان
چکیده
منابع مشابه
A companion for the Kiefer-Wolfowitz-Blum stochastic approximation algorithm
A stochastic algorithm for the recursive approximation of the location θ of a maximum of a regression function has been introduced by Kiefer and Wolfowitz (1952) in the univariate framework, and by Blum (1954) in the multivariate case. The aim of this paper is to provide a companion algorithm to the Kiefer-Wolfowitz-Blum algorithm, which allows to simultaneously recursively approximate the size...
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We consider the Kiefer-Wolfowitz (KW) stochastic approximation algorithm and derive general upper bounds on its meansquared error. The bounds are established using an elementary induction argument and phrased directly in the terms of tuning sequences of the algorithm. From this we deduce the nonnecessity of one of the main assumptions imposed on the tuning sequences by Kiefer and Wolfowitz [Kie...
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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 2` observations, where ` is the dimension, in the classical algorithm. The algorithm given here is shown to be convergent un...
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ژورنال
عنوان ژورنال: International Conference on Aerospace Sciences and Aviation Technology
سال: 1993
ISSN: 2636-364X
DOI: 10.21608/asat.1993.25633