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This article aims to introduce the simultaneous perturbation stochastic approximation (SPSA) algorithm for stochastic optimization.

An Overview of the Simultaneous Perturbation Method for Efficient Optimization

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Introduction to simultaneous perturbation stochastic approximation for optimizing multivariate systems, highlighting efficiency implications.

This article aims to introduce the simultaneous perturbation stochastic approximation (SPSA) algorithm for stochastic optimization.
Provides background on stochastic optimization
Describes the SPSA algorithm
Optimization algorithms are essential for efficient engineering system design and control
SPSA can improve the efficiency of various applications across industries

James C. Spall (1998) studied this question.

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Introduction to simultaneous perturbation stochastic approximation for optimizing multivariate systems, highlighting efficiency implications.