A variable metric technique for parameter optimization

✍ Scribed by D.F. Elliott; D.D. Sworder

• Publisher: Elsevier Science
• Year: 1969
• Tongue: English
• Weight: 495 KB
• Volume: 5
• Category: Article
• ISSN: 0005-1098
• DOI: 10.1016/0005-1098(69)90094-6

✦ Synopsis

Some properties of a modification of the multidimensional Kiefer-Wolfowitz stochastic approximation algorithm are presented. First an iterative method of evaluating the Hessian matrix of a regression function is proposed. This method is then used in conjunction with the Kiefer-Wolfowitz procedure to obtain a stochastic analogue of the Newton-Raphson gradient search method. It is shown that this technique can be used to locate the minimum of a regression function, and it is also shown that under certain conditions accelerated convergence is obtained.