Robbins-Monro 随机逼近算法和序列学习(Sequential Learning)

随机逼近的问题背景:

设因素x的值可由试验者控制,x的“响应”的指标值为Y,当取x之值x进行试验时,响应Y可表为Y=h(x)+ε,式中h(

  • 7
    点赞
  • 25
    收藏
    觉得还不错? 一键收藏
  • 0
    评论
The Robbins-Monro setting is a mathematical framework used to study stochastic approximation and optimization problems. It is named after Herbert Robbins and Sutton Monro, who introduced this framework in the 1950s. In the Robbins-Monro setting, we consider a sequence of random variables (Xn, Yn) where Xn is a sequence of random variables taking values in a measurable space and Yn is a sequence of random variables taking values in the real line. The goal is to find a sequence of real numbers (θn) that converges to a solution of the optimization problem minimize f(θ) where f is an unknown function that we want to minimize. The key assumption in the Robbins-Monro setting is that the function f is not known, but we can evaluate it at any point θ. Moreover, we assume that the random variables (Xn, Yn) are independent and identically distributed, and that the conditional distribution of Yn given Xn and θn is a probability distribution that depends on θn. The Robbins-Monro algorithm is a way to solve the optimization problem in this setting. It is an iterative algorithm that updates the estimate θn based on the observed value of Yn: θn+1 = θn - an(Xn, θn)(Yn - f(θn)) where an(Xn, θn) is a sequence of positive numbers that satisfies certain conditions. The idea behind this update rule is to move θn in the direction that reduces the expected value of the objective function f. The Robbins-Monro algorithm has been widely used in statistics, machine learning, and control theory to solve various optimization and estimation problems. It is a powerful tool for dealing with complex and noisy data, and it can be used to find the optimal solution even when the objective function is non-convex or non-smooth.

“相关推荐”对你有帮助么?

  • 非常没帮助
  • 没帮助
  • 一般
  • 有帮助
  • 非常有帮助
提交
评论
添加红包

请填写红包祝福语或标题

红包个数最小为10个

红包金额最低5元

当前余额3.43前往充值 >
需支付:10.00
成就一亿技术人!
领取后你会自动成为博主和红包主的粉丝 规则
hope_wisdom
发出的红包
实付
使用余额支付
点击重新获取
扫码支付
钱包余额 0

抵扣说明:

1.余额是钱包充值的虚拟货币,按照1:1的比例进行支付金额的抵扣。
2.余额无法直接购买下载,可以购买VIP、付费专栏及课程。

余额充值