A one-measurement form of simultaneous perturbation stochastic approximation

@article{Spall1997AOF,
  title={A one-measurement form of simultaneous perturbation stochastic approximation},
  author={James C. Spall},
  journal={Automatica},
  year={1997},
  volume={33},
  pages={109-112}
}
Abstmet-The simultaneous perturbation stochastic approximation (SPSA) algorithm has proven very effective for difficult multivariate optimization problems where it is not possible to obtain direct gradient information. As discussed to date, SPSA is based on a highly efficient gradient approximation requiring only two measurements of the loss function independent of the number of parameters being estimated. This note presents a form of SPSA that requires only one function measurement (for any… CONTINUE READING
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