Adaptive stochastic approximation algorithm

Abstract

In this paper, stochastic approximation (SA) algorithm with a new adaptive step size scheme is proposed. New adaptive step size scheme uses a fixed number of previous noisy function values to adjust steps at every iteration. The algorithm is formulated for a general descent direction and almost sure convergence is established. The case when negative gradient is chosen as a search direction is also considered. The algorithm is tested on a set of standard test problems. Numerical results show good performance and verify efficiency of the algorithm compared to some of existing algorithms with adaptive step sizes.