(Union of Mathematicians of Macedonia, 2017-01-01)
Kresoja, Milena
;
Dimovski, Marko
; ;
Luzanin, Zorana
We propose a generalization of recently proposed stochastic approximation method with adaptive step sizes for optimization
problems in noisy environment. The adaptive step size scheme uses
only a predefined number of last noisy functional values to select a
step size for the next iterate and allows different intensities of influence
of the past functional values. The almost sure convergence is established under suitable assumptions. Numerical results indicate a good
performance of the method. Application of the method in regression
models is presented.
