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Proceedings of the 41st IEEE Conference on Decision and Control, 2002.
The minimization of a convex function defined over the grid Z Z p is considered. A few relevant mathematical devices such as integer convexity, Markov Chain Monte Carlo (MCMC) methods, including stochastic comparison (SC), and simultaneous perturbation stochastic approximation (SPSA)are summarized. A truncated fixed gain SPSA method is proposed and investigated in combination with devices borrowed from the MCMC literature. The main contribution of the paper is the development and testing adoi:10.1109/cdc.2002.1184883 fatcat:44tav7smdjajxcdvu64kdseese