The need for solving multivariate optimization problems is pervasive in engineering and the physical and social sciences. The simultaneous perturbation stochastic approximation (SPSA) algorithm has recently attracted considerable attention for challenging optimization problems where it is difficult or impossible to directly obtain a gradient of the objective function with respect to the parameters being optimized. SPSA is based on an easily implemented and highly efficient gradient approximation that relies on measurements of the objective function, not on measurements of the gradient of the objective function. The gradient approximation is based on only two function measurements (regardless of the dimension of the gradient vector). This contrasts with standard finite-difference approaches, which require a number of function measurements proportional to the dimension of the gradient vector. This paper presents a simple step-by-step guide to implementation of SPSA in generic optimization problems and offers some practical suggestions for choosing certain algorithm coefficients.

Implementation of the simultaneous perturbation algorithm for stochastic optimization

The present article is a novel attempt in providing an exhaustive survey of neuro-fuzzy rule generation algorithms. Rule generation from artificial neural networks is gaining in popularity in recent times due to its capability of providing some insight to the user about the symbolic knowledge embedded within the network. Fuzzy sets are an aid in providing this information in a more human comprehensible or natural form, and can handle uncertainties at various levels. The neuro-fuzzy approach, symbiotically combining the merits of connectionist and fuzzy approaches, constitutes a key component of soft computing at this stage. To date, there has been no detailed and integrated categorization of the various neuro-fuzzy models used for rule generation. We propose to bring these together under a unified soft computing framework. Moreover, we include both rule extraction and rule refinement in the broader perspective of rule generation. Rules learned and generated for fuzzy reasoning and fuzzy control are also considered from this wider viewpoint. Models are grouped on the basis of their level of neuro-fuzzy synthesis. Use of other soft computing tools like genetic algorithms and rough sets are emphasized. Rule generation from fuzzy knowledge-based networks, which initially encode some crude domain knowledge, are found to result in more refined rules. Finally, real-life application to medical diagnosis is provided.

Neuro-fuzzy rule generation: survey in soft computing framework

https://www.cse.iitk.ac.in/users/isaha/Publications/Journals/NC10.pdf/

Artificial neural networks in hardware: A survey of two decades of progress

Stochastic approximation (SA) has long been applied for problems of minimizing loss functions or root finding with noisy input information. As with all stochastic search algorithms, there are adjustable algorithm coefficients that must be specified, and that can have a profound effect on algorithm performance. It is known that choosing these coefficients according to an SA analog of the deterministic Newton-Raphson algorithm provides an optimal or near-optimal form of the algorithm. However, directly determining the required Hessian matrix (or Jacobian matrix for root finding) to achieve this algorithm form has often been difficult or impossible in practice. The paper presents a general adaptive SA algorithm that is based on a simple method for estimating the Hessian matrix, while concurrently estimating the primary parameters of interest. The approach applies in both the gradient-free optimization (Kiefer-Wolfowitz) and root-finding/stochastic gradient-based (Robbins-Monro) settings, and is based on the "simultaneous perturbation (SP)" idea introduced previously. The algorithm requires only a small number of loss function or gradient measurements per iteration-independent of the problem dimension-to adaptively estimate the Hessian and parameters of primary interest. Aside from introducing the adaptive SP approach, the paper presents practical implementation guidance, asymptotic theory, and a nontrivial numerical evaluation. Also included is a discussion and numerical analysis comparing the adaptive SP approach with the iterate-averaging approach to accelerated SA.

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Adaptive stochastic approximation by the simultaneous perturbation method

ultivariate stochastic optimization plays a major role in the analysis and control of many engineering systems. In almost all real-world optimization problems, it is necessary to use a mathematical algorithm that iteratively seeks out the solution because an analytical (closed-form) solution is rarely available. In this spirit, the “simultaneous perturbation stochastic approximation (SPSA)” method for difficult multivariate optimization problems has been developed. SPSA has recently attracted considerable international attention in areas such as statistical parameter estimation, feedback control, simulation-based optimization, signal and image processing, and experimental design. The essential feature of SPSA—which accounts for its power and relative ease of implementation—is the underlying gradient approximation that requires only two measurements of the objective function regardless of the dimension of the optimization problem. This feature allows for a significant decrease in the cost of optimization, especially in problems with a large number of variables to be optimized. (

An Overview of the Simultaneous Perturbation Method for Efficient Optimization

This paper describes learning rules using simultaneous perturbation for a neurocontroller that controls an unknown plant. When we apply a direct control scheme by a neural network, the neural network must learn an inverse system of the unknown plant. In this case, we must know the sensitivity function of the plant using a kind of the gradient method as a learning rule of the neural network. On the other hand, the learning rules described here do not require information about the sensitivity function. Some numerical simulations of a two-link planar arm and a tracking problem for a nonlinear dynamic plant are shown.

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R.J.P. De Figueiredo

Papers

Learning rules for neuro-controller via simultaneous perturbation