Bhatnagar, Shalabh (2011) Simultaneous Perturbation and Finite Difference Methods John Wiley & Sons, Inc.. ISBN 9780470400630
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Official URL: http://doi.org/10.1002/9780470400531.eorms0784
Related URL: http://dx.doi.org/10.1002/9780470400531.eorms0784
Abstract
This article presents a survey of simultaneous perturbation and finite difference algorithms. One of the most important in this category of algorithms is the simultaneous perturbation stochastic approximation (SPSA) algorithm that has been used in a wide range of settings. The article presents an overview of the theory behind SPSA as well as the recent development of other finite‐difference algorithms along the lines of SPSA. The article also gives an overview of the applications of SPSA and SPSA‐type algorithms in various disciplines of engineering and science.
| Item Type: | Book |
|---|---|
| Source: | Copyright of this article belongs to John Wiley & Sons, Inc.. |
| Keywords: | Robbins‐Monro Algorithm; Finite Difference Methods; Random Perturbations; SPSA. |
| ID Code: | 116480 |
| Deposited On: | 12 Apr 2021 05:47 |
| Last Modified: | 12 Apr 2021 05:47 |
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