SimultaneousPerturbationStochasticApproximation.jl

A Julia implementation of SPSA (Simultaneous Perturbation Stochastic Approximation).

Install it in a julia repl with

]add https://github.com/jbrea/SimultaneousPerturbationStochasticApproximation.jl

using SimultaneousPerturbationStochasticApproximation
f(x) = sum(abs2, x)
result = minimize(f, lower = fill(-10, 10), upper = fill(10, 10), maxfevals = 10^5)

This package is not (well) tested and has minimal documentation. I found SPSA generally
to be inferior to the standard methods of BlackBoxOptim
or PyCMA.