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Two timescale analysis of the Alopex algorithm for optimization

Sastry, PS and Magesh, M and Unnikrishnan, KP (2002) Two timescale analysis of the Alopex algorithm for optimization. In: Neural Computation, 14 (11). pp. 2729-2750.

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Official URL: http://www.mitpressjournals.org/doi/abs/10.1162/08...

Abstract

Alopex is a correlation-based gradient-free optimization technique useful in many learning problems. However, there are no analytical results on the asymptotic behavior of this algorithm. This article presents a new version of Alopex that can be analyzed using techniques of two timescale stochastic approximation method. It is shown that the algorithm asymptotically behaves like a gradient-descent method, though it does not need (or estimate) any gradient information. It is also shown, through simulations, that the algorithm is quite effective.

Item Type: Journal Article
Additional Information: Copyright of this article belongs to MIT Press.
Department/Centre: Division of Electrical Sciences > Electrical Engineering
Date Deposited: 28 Jul 2011 04:32
Last Modified: 28 Jul 2011 04:32
URI: http://eprints.iisc.ernet.in/id/eprint/39509

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