Analysis of practical step size selection in stochastic approximation algorithms

Analysis of practical step size selection in stochastic approximation algorithms

0.00 Avg rating0 Votes
Article ID: iaor201526020
Volume: 229
Issue: 1
Start Page Number: 759
End Page Number: 769
Publication Date: Jun 2015
Journal: Annals of Operations Research
Authors:
Keywords: optimization, heuristics
Abstract:

For many popular stochastic approximation algorithms, such as the stochastic gradient method and the simultaneous perturbation stochastic approximation method, the practical gain sequence selection is different from the optimal selection, that is theoretically derived from asymptotical performance. We provide formal justification for the reasons why we choose such gain sequence in practice.

Reviews

Required fields are marked *. Your email address will not be published.