A state-dependent exploration gain makes single-sample SPSA globally convergent, and zig-zag exploration reduces its asymptotic variance from order 1/epsilon^2 to order epsilon^2.
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Global Convergence and Acceleration for Single Observation Gradient Free Optimization
A state-dependent exploration gain makes single-sample SPSA globally convergent, and zig-zag exploration reduces its asymptotic variance from order 1/epsilon^2 to order epsilon^2.