Journal Article Simultaneous Perturbation Stochastic Approximation with Norm-Limited Update Vector

Tanaka, Yosuke  ,  Azuma, Shun-ichi  ,  Sugie, Toshiharu

17 ( 6 )  , pp.2083 - 2090 , 2015-11 , wiley
Article first published online: 12 MAY 2015
This paper addresses the convergence of simultaneous perturbation stochastic approximation (SPSA) with a norm-limited update vector. We first illustrate an unstable solution of the standard SPSA algorithm which motivates the consideration of a modified version, where the norm of the update vector is limited to a certain value. Next, a result on the almost-sure convergence is presented by reducing the modified algorithm into the standard SPSA algorithm and restricting the probability distribution for the perturbation to a Bernoulli distribution. Finally, we apply the modified algorithm to a system identification problem to demonstrate its performance.

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