twospsaconstrained.m

一个启发式搜索算法 给初学者用的 随便参考着用 提供了多种策略

% J.C. Spall, Aug. 1998
% twospsaconstrained
% Code for evaluation of second-order SPSA (2SPSA) versus first-order 
% SPSA (1SPSA, as in Chap. 7 of ISSO).  Code is for comparative evaluation purposes; hence,  
% it includes much that is not required for a basic implementation. Further, it is 
% in no way "optimized" for efficiency or generality; this is strictly research
% code for the purpose of getting a basic idea of how 2SPSA works.

% Code includes the capability for initializing 2SPSA by running 1SPSA for 
% N measurements.  This code allows for averaging of the 
% SP gradients and Hessian estimates at EACH iteration after the initial (N) 
% measurements where only 1SPSA is used for estimating theta.  We use "theta"
% for the 2SPSA recursion.  Code allows for checking for simple constraint 
% violation (componentwise constraints).
%
% UPDATE MAR. 2006: Feedback and weighting versions of this code are available from the author;
% this can generally provide enhanced performance. (Reference: Spall, J. C. (2006), 揊eedback and Weighting Mechanisms 
% for Improving Jacobian (Hessian) Estimates in the Adaptive Simultaneous Perturbation Algorithm,