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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