Parameter estimation in a highly non-linear model using simultaneous perturbation stochastic approximation

Communications in Statistics - Theory and Methods

Volumn 29, Issue 5-6, 2000, Pages 1247-1256

  Whitney II, James E ^a   Duncan, Kerron ^a   Richardson, Maria ^a   Bankman, Isaac ^b  

^a Center of Excellence for Tactical and Advanced Communications Technologies   (United States)

^b JOHNS HOPKINS UNIVERSITY   (United States)

Author keywords

Optimization; SPSA

Indexed keywords

EID: 18844369048     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (7)

1. Blum, J. R. (1954) "Multidimensional Stochastic Approximation Methods", Ann. Math. Stat., 25, 737-744.
2. Kiefer, J. and Wolfowitz, J. (1952) "Stochastic Estimation of the Maximum of a Regression Function", Ann. Math. Stat., 23, 462-466.
3. Spall, J. C. (1992) "Multivariate Stochastic Approximation Using a Simultaneous Perturbation Gradient Approximation", IEEE Transactions on Automatic Control, 37(3), 332-341.
4. Spall, J. C. (1998a) "Implementation of the Simultaneous Perturbation Algorithm for Stochastic Optimization", IEEE Transactions on Aerospace and Electronic Systems, 34(3), 817-823.
5. Spall, J. C. (1998b) "An Overview of the Simultaneous Perturbation Method for Efficient Optimization", John Hopkins APL Technical Digest, 19(4), 482-492.
6. Spall, J. C. (1999) "Adaptive Stochastic Approximation by the Simultaneous Perturbation Method", IEEE Transactions on Automatic Control,
7. to appear (in condensed form in Proceedings of the IEEE Conference on Decision and Control, 1998, 3872-3879).