...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>SIAM Journal on Control and Optimization >A GENERALIZATION OF THE AVERAGING PROCEDURE: THE USE OF TWO-TIME-SCALE ALGORITHMS
【24h】

A GENERALIZATION OF THE AVERAGING PROCEDURE: THE USE OF TWO-TIME-SCALE ALGORITHMS

机译：平均过程的广义化：两次时间算法的使用

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Ruppert [Handbook of Sequential Analysis, B. K. Ghosh and P. K. Sen, eds., Marcel Dekker, New York, 1991] and Polyak [Automat. Remote Control, 51 (1990), pp. 937-946] independently introduced the averaging principle for Robbins-Monro's algorithm in order to construct an algorithm that is asymptotically efficient, and that is quickly updated. Their averaging principle has been extended to other algorithms (including Kiefer-Wolfowitz's algorithm), leading to algorithms that are asymptotically efficient, but whose updatings are less straightforward. We introduce the use of two-time-scale stochastic approximation algorithms to construct a large class of asymptotically efficient algorithms. This method generalizes the averaging principle. Moreover, for the algorithms that do not behave as Robbins-Monro's algorithm, it allows one to provide algorithms whose updating is as straightforward as that of the averaged Robbins-Monro's algorithm.
机译：Ruppert [顺序分析手册，B。K. Ghosh和P. K. Sen编辑，1991年，纽约，Marcel Dekker]和Polyak [自动机。 [Remote Control，51（1990），pp。937-946]独立介绍了Robbins-Monro算法的平均原理，以构造一种渐近有效且可快速更新的算法。它们的平均原理已扩展到其他算法（包括Kiefer-Wolfowitz的算法），导致渐近有效的算法，但更新不那么直接。我们介绍了使用二次尺度随机逼近算法来构造一大类渐近有效算法。该方法概括了平均原理。而且，对于不像Robbins-Monro算法那样工作的算法，它允许人们提供其更新与平均Robbins-Monro算法一样简单的算法。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号