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Randomization metho...
Randomization methods in optimization and adaptive control - Dedicated to Tyrone Duncan on occasion of his 60th birthday
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- Gerencser, Laszlo (author)
- Computer and Automation Institute of the Hungarian Academy of Sciences, (MTA SZTAKI),
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Vago, Z (author)
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- Hjalmarsson, Håkan (author)
- KTH,Signaler, sensorer och system,Reglerteknik
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(creator_code:org_t)
- Springer-Verlag New York, 2002
- 2002
- English.
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In: STOCHASTIC THEORY AND CONTROL. - : Springer-Verlag New York. - 3540437770 ; , s. 137-153
- Related links:
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https://urn.kb.se/re...
Abstract
Subject headings
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- We consider simultaneous perturbation stochastic approximation (SPSA) methods applied to noise-free problems in optimization and adaptive control. More generally, we consider discrete-time fixed gain stochastic approximation processes that are defined in terms of a random field that is identically zero at some point theta*. The boundedness of the estimator process is enforced by a resetting mechanism. Under appropriate technical conditions the estimator sequence converges to theta* with geometric rate almost surely. This result is in striking contrast to classical stochastic approximation theory where the typical convergence rate is n(-1/2). For the proof a discrete-time version of the ODE-method is used and the techniques of [10] are extended. A simple variant of noise free-SPSA is applied to extend a direct controller tuning method named Iterative Feedback Timing (IFT), see [16]. Using randomization, the number of experiments required to obtain an unbiased estimate of the gradient of the cost function can be reduced significantly for multi-input multi-output systems.
Subject headings
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)
Keyword
- PERTURBATION GRADIENT APPROXIMATION
- STOCHASTIC-APPROXIMATION
- CONVERGENCE
- ALGORITHM
- SRA - ICT
- SRA - Informations- och kommunikationsteknik
Publication and Content Type
- ref (subject category)
- kap (subject category)
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