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Search for the optima of stochastic functions†

 

作者: R. H. LUECKE,  

 

期刊: International Journal of Control  (Taylor Available online 1970)
卷期: Volume 12, issue 4  

页码: 609-623

 

ISSN:0020-7179

 

年代: 1970

 

DOI:10.1080/00207177008931877

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A method is proposed for search for extrema in stochastic systems. Search algorithms which were developed and are successful in noise-free systems are used in the noise-corrupted systems except that minimum variance estimators are substituted for direct functional measurements. The optimal programme of estimators is obtained by solving a variational calculus problem. An example showing significant improvement in search response over traditional stochastic approximation methods is presented.

 

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