Adaptive stochastic approximation algorithm

In this paper, stochastic approximation (SA) algorithm with a new adaptive step size scheme is proposed. New adaptive step size scheme uses a fixed number of previous noisy function values to adjust steps at every iteration. The algorithm is formulated for a general descent direction and almost sure...

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Bibliographic Details
Published in:	Numerical algorithms Vol. 76; no. 4; pp. 917 - 937
Main Authors:	Kresoja, Milena, Lužanin, Zorana, Stojkovska, Irena
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.12.2017 Springer Nature B.V
Subjects:	Adaptive algorithms Algebra Algorithms Approximation Computer Science Iterative methods Mathematical analysis Mathematics Numeric Computing Numerical Analysis Optimization techniques Original Paper Random variables Theory of Computation Unconstrained optimization Adaptive step size Stochastic approximation Noisy function Stochastic optimization Gradient method Descent direction
ISSN:	1017-1398, 1572-9265
Online Access:	Get full text
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