2005•Unpublished venueRequires access

Discrete stochastic approximation via simultaneous difference approximations

Stacy D. Hill, L. Gerencsér, Zs.G. Vágó

Abstract

A stochastic approximation method for optimizing a class of discrete functions is considered. The procedure is a version of the simultaneous perturbation stochastic approximation (SPSA) method that has been modified to obtain a stochastic optimization method for cost functions defined on a discrete set of points. We discuss the algorithm and examine its convergence and also the rate of convergence.

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Available abstract

Key concepts: Simultaneous perturbation stochastic approximation, Stochastic approximation, Stochastic optimization, Approximation algorithm, Rate of convergence, Convergence (economics), Applied mathematics, Mathematical optimization