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We consider the Kiefer-Wolfowitz (KW) stochastic approximation algorithm and derive general upper bounds on its mean-squared 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… (More)

We extend the scaled-and-shifted Kiefer-Wolfowitz (SSKW) algorithm developed by Broadie, Cicek, and Zeevi (2009) to multiple dimensions. The salient feature of this algorithm is that it makes adjustments of the tuning parameters that adapt to the underlying problem characteristics. We compare the performance of this algorithm to the traditional… (More)

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