Improved results on the robustness of stochastic approximation algorithms
β Scribed by Aijun Gao; Hanfu (Han-fu Chen) Chen; Yunmin Zhu
- Publisher
- Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
- Year
- 1992
- Tongue
- English
- Weight
- 334 KB
- Volume
- 8
- Category
- Article
- ISSN
- 0168-9673
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π SIMILAR VOLUMES
An analysis of robust recursive algorithms for dynamic system identification is presented. Problems related to the construction of optimal stochastic approximation algorithms in the min-max sense are demonstrated. Starting from the definition of one class of robustified recursive identification algo
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 convergenc