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The magic of SPSA
Author(s) -
Gerencsér L.,
Vágó Zs.,
Hill Stacy D.
Publication year - 2007
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200700337
Subject(s) - simultaneous perturbation stochastic approximation , mathematical optimization , computer science , stochastic optimization , stochastic approximation , mathematics , stochastic process , statistics , computer security , key (lock)
The basics of SPSA (simultaneous perturbation stochastic approximation) initiated and developed in [1] will be desctribed. We point out the advantages of SPSA over the finite difference stochastic approximation (FDSA) or Kiefer‐Wolfowitz (KW) method. Its applicability in noise free optimization and in discrete optimization will be also briefly described. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)