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Stochastic Approximation by Leonidas Sakalauskas by Javier Arango is a document available to read on EtoBox.
What is Stochastic Approximation by Leonidas Sakalauskas about?
The document discusses stochastic approximation and simulated annealing algorithms. It introduces stochastic approximation as an alternative to traditional optimization methods when objective functions are non-differentiable or noisy. It then describes three stochastic approximation algorithms - SPSA with Lipschitz perturbation, SPSA with uniform perturbation, and standard finite difference approximation. The document also provides examples of applying these algorithms to volatility estimation and cargo tan
- Author
- Javier Arango
- Language
- EN