Extensions of Kestin's Adaptive Stochastic Approximation Method,

Abstract

Kestin proposed a method for adjusting the coefficients of a scalar stochastic approximation process, and proved w.p.1. convergence. A family of multidimensional processes for function minimization are treated here. Each method consists of a sequence of trucated one-dimensional procedures of the Kestin type. The methods seem to offer a number of advantages over the usual Kiefer-Wolfowitz procedures, and are more natural analogs of the schemes in common use in deterministic optimization theory. (Author)

Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1972
Accession Number
AD0744033

Entities

People

  • Harold J. Kushner
  • Thomas L. Gavin

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Coefficients
  • Convergence
  • Optimization

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Approximation Theory.