In this chapter, we review the Finite Difference Stochastic Approximation (FDSA) algorithm, also known as Kiefer-Wolfowitz (K-W) algorithm, and some of its variants for finding a local minimum of an objective function. The K-W scheme is a version of the Robbins-Monro stochastic approximation ...
In this article, we study the algorithm of KieferWolfowitz underquasi-associated random errors. We establish the complete convergence and obtain an exponential bound. Additionally, we build a confidence interval for the minimum. Numerical examples are sketched out to confirm the theoretical results and...
Chen, "A Kiefer-Wolfowitz algorithm based iterative learning control for Hammerstein-WIEner systems," Asian Journal of Control, vol. 14, no. 4, pp. 1070-1083, 2012.Dong Shen,Han-Fu Chen. A KIEFER-WOLFOWITZ ALGORITHM BASED ITERATIVE LEARNING CONTROL FOR HAMMERSTEIN-WIENER SYSTEMS[J].Asian ...
Chen, "A Kiefer-Wolfowitz algorithm based iterative learning control for Hammerstein-WIEner systems," Asian Journal of Control, vol. 14, no. 4, pp. 1070-1083, 2012.Dong Shen,Han-Fu Chen. A KIEFER-WOLFOWITZ ALGORITHM BASED ITERATIVE LEARNING CONTROL FOR HAMMERSTEIN-WIENER SYSTEMS[J].Asian ...
Kiefer-Wolfowitz algorithmnonparametric pricing policyrevenue managementstochastic approximationWe consider the problem of nonparametric multi-product dynamic pricing with unknown demand and show that the problem may be formulated as an online model-free stochastic program, which can be solved by the ...
A continuous-time Kiefer-Wolfowitz algorithm with randomized differences and with truncations at randomly varying bounds is proposed. It is shown that the algorithm converges to the desired value almost surely under mild conditions. The rate of convergence and the asymptotic normality of the algorithm...
J. C. Spall "A Stochastic Approximation Algorithm for Large-Dimensional Systems in the Kiefer-Wolfowitz Setting", Proceedings of the IEEE Conference on Decision and Control , pp.1544 -1548 1988Spall, J. C., 1988, "A Stochastic Approximation Algorithm for Large-Dimensional System in ...