Convergence rate of moments in stochastic approximation with simultaneous perturbation gradient approximation and resetting

@article{Gerencsr1999ConvergenceRO,
  title={Convergence rate of moments in stochastic approximation with simultaneous perturbation gradient approximation and resetting},
  author={L{\'a}szl{\'o} Gerencs{\'e}r},
  journal={IEEE Trans. Automat. Contr.},
  year={1999},
  volume={44},
  pages={894-905}
}
The sequence of recursive estimators for function minimization generated by Spall’s simultaneous perturbation stochastic approximation (SPSA) method, presented in [25], combined with a suitable restarting mechanism is considered. It is proved that this sequence converges under certain conditions with rate O(n ) for some >0, the best value being = 2=3, where the rate is measured by theLq-norm of the estimation error for any 1 q <1. The authors also present higher order SPSA methods. It is shown… CONTINUE READING
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