ACCELERATION OF STOCHASTIC-APPROXIMATION BY AVERAGING

被引：1035
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.
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页码：838 / 855
页数：18
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