Semi-srochastic approximation by the response surface methodology (RMS)

Publisher Website
Google Scholar
Abstract
Stochastic approximation procedures, e.g. stochastic gradient methods. for the minimization of a mean value unction. on a cover feasible domain can be accelerated considerably by using deterministic descent directions or more exact gradient estimates at certain iteration points. The gradient estimator estimator considered here is defined by the gradient of a so-called first or second order polynomial reponse surface model f of the unknow objective function f,where the estimate f of F is constructed by regression analysis.The accuracy of this gradient estimator is examined and the convergence behavior of the resulting hybride procedure—in comparison with standard stochastic approximation—is considered