SICE Journal of Control, Measurement, and System Integration
Online ISSN : 1884-9970
Print ISSN : 1882-4889
ISSN-L : 1882-4889
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Stochastic Extremum-Seeking Algorithm for One-Dimensional and Multivariate Static Systems
Kenta HOSHINOYuh YAMASHITA
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2013 Volume 6 Issue 3 Pages 177-185

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Abstract

The aim of this paper is to present a stochastic extremum-seeking algorithm for one-dimensional and multivariate optimization of static systems. Extremum-seeking algorithms estimate the optimum value of a function using perturbation signals. The authors propose three schemes (a basic scheme, an annealing parameter scheme, and a high-pass filter scheme) for the one-parameter problem and one scheme (a high-pass filter scheme) for the multivariate problem. These methods employ Wiener processes for the perturbation signals. In this paper, the proposed methods are shown to converge by means of a stability analysis of stochastic systems. The paper presents some numerical examples to demonstrate the effectiveness of the methods.

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© 2013 The Society of Instrument and Control Engineers
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