ACCELERATION OF STOCHASTIC-APPROXIMATION BY AVERAGING

被引：1083

作者：

POLYAK, BT ^{[1
]}

JUDITSKY, AB ^{[1
]}

机构：

[1] INST RECH INFORMAT & SYST ALEATOIRES,F-35042 RENNES,FRANCE

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1992年 / 30卷 / 04期

关键词：

STOCHASTIC APPROXIMATION; RECURSIVE ESTIMATION; STOCHASTIC OPTIMIZATION; OPTIMAL ALGORITHMS;

D O I：

10.1137/0330046

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A new recursive algorithm of stochastic approximation type with the averaging of trajectories is investigated. Convergence with probability one is proved for a variety of classical optimization and identification problems. It is also demonstrated for these problems that the proposed algorithm achieves the highest possible rate of convergence.

引用

页码：838 / 855

页数：18

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