| CONTINUOUS-TIME KIEFER-WOLFOWITZ ALGORITHM WITH RANDOMIZED DIFFERENCES |
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| 作者姓名： | CHEN Hanfu WANG Qian |
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| 作者单位： | Institute Of Systems Science，Academia Silica，Beijing 100080，China |
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| 摘 要： | 1.IntroductionTheKiefer-Wolfowitz(KW)algorithmisusedtosequeotiallysearchtheextremumofafUnction,onthebasisofthenoisecontaminatedobservationsofthefunction.AssumetheunknownauctionH:ac-Rhasauniquemaximumatxo.ItiswellknownthattheclassicalKWalgorithmneedsZmobserVationsofH(see1])forupdatingtheestimateofxoateachiteration.Itisrathertime-consumingifthedimensionmisverylarge,somanyresearchersmanagedtoreducethenumberofmeasurementsneededateachstep.Recently,Spalll2]proposedanalgorithmwithrandomizeddif…
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CONTINUOUS-TIME KIEFER-WOLFOWITZ ALGORITHM WITH RANDOMIZED DIFFERENCES |
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| CHEN Hanfu, WANG Qian.CONTINUOUS-TIME KIEFER-WOLFOWITZ ALGORITHM WITH RANDOMIZED DIFFERENCES[J].Journal of Systems Science and Complexity,1998(4). |
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| Authors: | CHEN Hanfu WANG Qian |
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| Abstract: | A continuous-time Kiefer-Wolfowitz algorithm with randomized differences andwith truncations at randomly varying bounds is proposed. It is shown that the algorithmconverges to the desired value almost surely under mild conditions. The rate of convergenceand the asymptotic normality of the algorithm are also established. |
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| Keywords: | Continuous-time stochastic approximation random truncations randomized differences stochastic delay differential equation asymptotic normality |
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