Further results on almost sure convergence of the stochastic gradient algorithm
✍ Scribed by Miloje S. Radenkovic
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 151 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0890-6327
No coin nor oath required. For personal study only.
✦ Synopsis
In this paper, we consider the rate of convergence of the parameter estimation error and the cost function for the stochastic gradient-type algorithm. The problem is solved in the case of the minimum-variance stochastic adaptive control. It is proven that the cost function has the rate of convergence, comparable with the one established for the least-squares algorithm. Comparison of the two algorithms is made under the same conditions related to the process noise and the structure of the system model. In addition it is shown, that the convergence rate for the parameter estimation error, is of the same order as in the case of extended least-squares algorithm.