Stochastic Optimization and the Simultaneous Perturbation Algorithm

Abstract

ORGANIZATION: (1) Problem setting (2) SPSA algorithm (3) Theoretical foundation (4) Practical guidelines -- MATLAB code (5) Numerical example (6) Adaptive simultaneous perturbation method (7) Extensions and further results.

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 2007
Accession Number
ADA488797

Entities

People

  • James C. Spall

Organizations

  • Johns Hopkins University

Tags

DTIC Thesaurus Topics

  • Algorithms
  • Asymptotic Normality
  • Bernoulli Distribution
  • Computations
  • Convergence
  • Data Science
  • Genetic Algorithms
  • Information Science
  • Military Operations
  • Monte Carlo Method
  • Operations Research
  • Optimization
  • Perturbations
  • Physics Laboratories
  • Random Variables
  • Statistical Algorithms
  • Websites

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Operations Research