Title :
A Stochastic Approximation Method
Author :
Sinha, Naresh K. ; Griscik, Michael P.
Abstract :
A new algorithm for stochastic approximation has been proposed, along with the assumptions and conditions necessary for convergence. It has been proved by two different methods that the algorithm converges to the sought value in the mean-square sense and with probability one. The rate of convergence of the new algorithm is shown to be better than two existing algorithms under certain conditions. Results of simulation have been given, making a realistic comparison between the three algorithms.
Keywords :
Adaptive control; Approximation algorithms; Approximation methods; Convergence; Councils; Iterative algorithms; Programmable control; Statistics; Stochastic processes; Stochastic systems;
Journal_Title :
Systems, Man and Cybernetics, IEEE Transactions on
DOI :
10.1109/TSMC.1971.4308316
