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- W2569979269 abstract "We propose an improved Hessian estimation scheme for the second-order random directions stochastic approximation (2RDSA) algorithm [1]. The proposed scheme, inspired by [2], reduces the error in the Hessian estimate by (i) incorporating a zero-mean feedback term; and (ii) optimizing the step-sizes used in the Hessian recursion of 2RDSA.We prove that 2RDSA with our Hessian improvement scheme (2RDSA-IH) converges asymptotically to the true Hessian. The advantage with 2RDSA-IH is that it requires only 75% of the simulation cost per-iteration for 2SPSA with improved Hessian estimation (2SPSA-IH) [2]. Numerical experiments show that 2RDSA-IH outperforms both 2SPSA-IH and 2RDSA without the improved Hessian estimation scheme." @default.
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- W2569979269 date "2016-12-01" @default.
- W2569979269 modified "2023-09-24" @default.
- W2569979269 title "Improved Hessian estimation for adaptive random directions stochastic approximation" @default.
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- W2569979269 doi "https://doi.org/10.1109/cdc.2016.7798823" @default.
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