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Main Authors:	Dimitrieski, Naum, Reyer, Michael, Belabbas, Mohamed-Ali, Ebenbauer, Christian
Format:	Preprint
Published:	2024
Subjects:	Optimization and Control
Online Access:	https://arxiv.org/abs/2410.20572
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author	Dimitrieski, Naum Reyer, Michael Belabbas, Mohamed-Ali Ebenbauer, Christian
author_facet	Dimitrieski, Naum Reyer, Michael Belabbas, Mohamed-Ali Ebenbauer, Christian
contents	In this paper a novel stochastic optimization and extremum seeking algorithm is presented, one which is based on time-delayed random perturbations and step size adaptation. For the case of a one-dimensional quadratic unconstrained optimization problem, global exponential convergence in expectation and global exponential practical convergence of the variance of the trajectories are proven. The theoretical results are complemented by numerical simulations for one- and multi-dimensional quadratic and non-quadratic objective functions.
format	Preprint
id	arxiv_https___arxiv_org_abs_2410_20572
institution	arXiv
publishDate	2024
record_format	arxiv
spellingShingle	Time-delay Induced Stochastic Optimization and Extremum Seeking Dimitrieski, Naum Reyer, Michael Belabbas, Mohamed-Ali Ebenbauer, Christian Optimization and Control In this paper a novel stochastic optimization and extremum seeking algorithm is presented, one which is based on time-delayed random perturbations and step size adaptation. For the case of a one-dimensional quadratic unconstrained optimization problem, global exponential convergence in expectation and global exponential practical convergence of the variance of the trajectories are proven. The theoretical results are complemented by numerical simulations for one- and multi-dimensional quadratic and non-quadratic objective functions.
title	Time-delay Induced Stochastic Optimization and Extremum Seeking
topic	Optimization and Control
url	https://arxiv.org/abs/2410.20572

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