The MATLAB code below implements the second-order SPSA (simultaneous perturbation stochastic approximation) and second-order SG (stochastic gradient) in an efficient manner, such that the FLOPS-per-iteration is reduced from $O(p^3)$ to $O(p^2)$ where $p$ is the dimension of the underlying parameter. See more details in "Efficient Implementation …
☆13Nov 27, 2020Updated 5 years ago
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