Journal
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
Volume 54, Issue 6, Pages 1216-1229Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TAC.2009.2019793
Keywords
Adaptive estimation; Jacobian matrix; root-finding; simultaneous perturbation stochastic approximation (SPSA); stochastic optimization
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It is known that a stochastic approximation (SA) analogue of the deterministic Newton-Raphson algorithm provides an asymptotically optimal or near-optimal form of stochastic search. However, directly determining the required Jacobian matrix (or Hessian matrix for optimization) has often been difficult or impossible in practice. This paper presents a general adaptive SA algorithm that is based on a simple method for estimating the Jacobian matrix while concurrently estimating the primary parameters of interest. Relative to prior methods for adaptively estimating the Jacobian matrix, the paper introduces two enhancements that generally improve the quality of the estimates for underlying Jacobian (Hessian) matrices, thereby improving the quality of the estimates for the primary parameters of interest. The first enhancement rests on a feedback process that uses previous Jacobian estimates to reduce the error in the current estimate. The second enhancement is based on an optimal weighting of per-iteration Jacobian estimates. From the use of simultaneous perturbations, the algorithm requires only a small number of loss function or gradient measurements per iteration-independent of the problem dimension-to adaptively estimate the Jacobian matrix and parameters of primary interest.
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