DocumentCode
1373998
Title
Almost sure rate of convergence of the parameter estimates in stochastic approximation algorithm
Author
Radenkovic, Miloje S ; Michel, A.N.
Author_Institution
Dept. of Electr. Eng., Colorado Univ., Denver, CO
Volume
45
Issue
6
fYear
2000
fDate
6/1/2000 12:00:00 AM
Firstpage
1161
Lastpage
1166
Abstract
This paper presents novel results on the almost sure convergence of the parameter estimates in stochastic approximation algorithm. It is proved that this rate has the same order as the best one established for the least squares algorithm. Although we consider the case of self-tuning controllers, the presented results can easily be extended to some other adaptive processes
Keywords
approximation theory; convergence; discrete time systems; parameter estimation; self-adjusting systems; stochastic processes; SISO systems; almost sure convergence; discrete time systems; martingale; parameter estimation; self-tuning controller; stochastic approximation; Adaptive control; Adaptive systems; Approximation algorithms; Convergence; Error correction; Least squares approximation; Least squares methods; Parameter estimation; Programmable control; Stochastic processes;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.863599
Filename
863599
Link To Document