A Kiefer-Wolfowitz algorithm with randomized differences

H.F. Chen, T.E. Duncan, B. Pasik-Duncan
1999 IEEE Transactions on Automatic Control  
A Kiefer-Wolfowitz or simultaneous perturbation algorithm that uses either one-sided or two-sided randomized differences and truncations at randomly varying bounds is given in this paper. At each iteration of the algorithm only two observations are required in contrast to 2'observations, where'is the dimension, in the classical algorithm. The algorithm given here is shown to be convergent under only some mild conditions. A rate of convergence and an asymptotic normality of the algorithm are
more » ... e algorithm are also established. Index Terms-Kiefer-Wolfowitz algorithm, perturbation algorithm, simultaneous stochastic approximation, stochastic approximation with randomized differences.
doi:10.1109/9.751340 fatcat:smkutk5gkffppejkpry2gx4ady