Accession Number : AD0744033

Title :   Extensions of Kestin's Adaptive Stochastic Approximation Method,

Corporate Author : BROWN UNIV PROVIDENCE R I DIV OF APPLIED MATHEMATICS

Personal Author(s) : Kushner,Harold J. ; Gavin,Thomas L.

Report Date : 1972

Pagination or Media Count : 28

Abstract : Kestin proposed a method for adjusting the coefficients of a scalar stochastic approximation process, and proved w.p.1. convergence. A family of multidimensional processes for function minimization are treated here. Each method consists of a sequence of trucated one-dimensional procedures of the Kestin type. The methods seem to offer a number of advantages over the usual Kiefer-Wolfowitz procedures, and are more natural analogs of the schemes in common use in deterministic optimization theory. (Author)

Descriptors :   (*APPROXIMATION(MATHEMATICS), STOCHASTIC PROCESSES), MONTE CARLO METHOD, ADAPTIVE SYSTEMS, SEQUENCES(MATHEMATICS), OPTIMIZATION, ITERATIONS, CONVERGENCE, SET THEORY, ALGORITHMS, THEOREMS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE