stochastic_opt by matlab
2016-08-23
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4.0
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%J.C. Spall, Jan. 2000 %This code implements SPSA with constraints for theta to lie in %a specified hypercube. %Code includes more "bells and whistles" than required for basic SPSA (as %available at the SPSA web site and code 'spsa_basic_constrained'). %Code includes loss-based and theta-based %blocking of iterates (both of these blocking steps are optional). %Code also allows for averaging SP gradients at each iteration. This code includes %some evaluation material that is not essential to a basic run of SPSA (i.e., when %cases > 1, the code is performing multiple runs on the same problem).
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matlabstochasticopt
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