Exploring foci of:
arXiv (Cornell University)
Random directions stochastic approximation with deterministic\n perturbations
August 2018 • L A Prashanth, Shalabh Bhatnagar, Nirav Bhavsar, Michael C. Fu, Steven I. Marcus
We introduce deterministic perturbation schemes for the recently proposed\nrandom directions stochastic approximation (RDSA) [17], and propose new\nfirst-order and second-order algorithms. In the latter case, these are the\nfirst second-order algorithms to incorporate deterministic perturbations. We\nshow that the gradient and/or Hessian estimates in the resulting algorithms\nwith deterministic perturbations are asymptotically unbiased, so that the\nalgorithms are provably convergent. Furthermore, we derive conver…
Mathematics
Computer Science
Lock And Key
Statistics
Quantum Mechanics
Economics
Computer Security
Economic Growth
Physics
Geometry
Finance