Optimal convergence rate of the randomized algorithms of stochastic approximation in arbitrary noise

O. N. Granichin

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Optimal convergence rate of the randomized algorithms of stochastic approximation in arbitrary noise

机译：随机噪声中随机近似随机算法的最优收敛速度

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Multidimensional stochastic optimization plays an important role in analysis and control of many technical systems. To solve the challenging multidimensional problems of optimization, it was suggested to use the randomized algorithms of stochastic approximation with perturbed input which are not just simple, but also provide consistent estimates of the unknown parameters for observations in "almost arbitrary" noise. Optimal methods of choosing the parameters of algorithms were motivated.

机译：多维随机优化在许多技术系统的分析和控制中起着重要作用。为了解决具有挑战性的多维优化难题，建议使用带有扰动输入的随机逼近随机算法，该算法不仅简单，而且可以为“几乎任意”噪声中的观测提供未知参数的一致估计。提出了选择算法参数的最优方法。

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《Automation and Remote Control》 |2003年第2期|共11页
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O. N. Granichin;
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1. Optimal convergence rate of the randomized algorithms of stochastic approximation in arbitrary noise [J] . O. N. Granichin Automation and Remote Control . 2003,第2期

机译：随机噪声中随机近似随机算法的最优收敛速度
2. Noise conditions for prespecified convergence rates of stochastic approximation algorithms [J] . Chong E.K.P., I-Jeng Wang IEEE Transactions on Information Theory . 1999,第2期

机译：预先设定的随机近似算法收敛速度的噪声条件
3. Randomized algorithms for stochastic approximation under arbitrary disturbances [J] . O. N. Granichin Automation and Remote Control . 2002,第2期

机译：任意扰动下随机逼近的随机算法
4. Convergence Rates of Finite Difference Stochastic Approximation Algorithms Part Ⅱ: Implementation via Common Random Numbers [C] . Liyi Dai Sensing and analysis technologies for biomedical and cognitive applications 2016 . 2016

机译：有限差分随机逼近算法的收敛速度第二部分：通用随机数的实现
5. On the convergence of model -free policy iteration algorithms for reinforcement learning: Stochastic approximation under discontinuous mean dynamics. [D] . Williams, John Kevin. 2000

机译：关于用于增强学习的无模型策略迭代算法的收敛：不连续平均动力学下的随机逼近。
6. On stochastic differential equations with arbitrarily slow convergence rates for strong approximation in two space dimensions [O] . Máté Gerencsér, Arnulf Jentzen, Diyora Salimova -1

机译：具有二维空间强逼近的具有任意慢收敛速度的随机微分方程
7. Noise conditions for prespecified convergence rates of stochastic approximation algorithms [O] . Edwin K. P. Chong, Senior Member, I-jeng Wang, 1999

机译：预先设定的随机近似算法收敛速度的噪声条件
8. I,II Convergence and Rate of Convergence Theorems for Constrained and Unconstrained Stochastic Approximation,via Weak Convergence Methods. III Numerical Studies for Constrained Stochastic Approximation Problems, [R] . kushner,harold j. lakshmivarahan, s. 1977

机译：I，II收敛性和受约束和无约束随机逼近的收敛速度定理，通过弱收敛方法。 III约束随机逼近问题的数值研究，

Optimal convergence rate of the randomized algorithms of stochastic approximation in arbitrary noise

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