Efficiency of the stochastic approximation method

Abstract

The practical aspect of the stochastic approximation method (SA) is studied. Specifically, we investigated the efficiency depending on the coefficients that generate the step length in optimization algorithm, as well as the efficiency depending on the type and the level of the corresponding noise. Efficiency is measured by the mean values of the objective function at the final estimates of the algorithm, over the specified number of replications. This paper provides suggestions how to choose already mentioned coefficients, in order to achieve better performance of the stochastic approximation algorithm.