Abstract
LetH be an infinite-dimensional real separable Hilbert space andR the real line. Given an unknown functionalg:H→R that can only be observed with random error, we consider a recursive method to locate an extremum ofg. Applications to optimal stochastic control are presented.
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Goldstein, L. Minimizing noisy functionals in hilbert space: An extension of the Kiefer-Wolfowitz procedure. J Theor Probab 1, 189–204 (1988). https://doi.org/10.1007/BF01046934
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DOI: https://doi.org/10.1007/BF01046934