optimizer_SPSA: Simultaneous Perturbation Stochastic Approximation (SPSA)

In dirkschumacher/armacmp: Translate R Linear Algebra Code to Armadillo C++

Description

Simultaneous Perturbation Stochastic Approximation (SPSA)

Usage

optimizer_SPSA(
  alpha = 0.602,
  gamma = 0.101,
  stepSize = 0.16,
  evaluationStepSize = 0.3,
  maxIterations = 1e+05,
  tolerance = 1e-05
)

Arguments

alpha	Scaling exponent for the step size.
gamma	Scaling exponent for evaluation step size.
stepSize	Scaling parameter for step size.
evaluationStepSize	Scaling parameter for evaluation step size.
maxIterations	Maximum number of iterations allowed (0 means no limit).
tolerance	Maximum absolute tolerance to terminate algorithm.

dirkschumacher/armacmp documentation built on Oct. 22, 2021, 7:10 p.m.