A combined algorithm for identification and approximation

DOI10.1007/BF02008375MaRDI QIDQ1099561zbMATH OpenFDO

Authors Shuhui Deng

Publication date 1987

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02008375

zbMATH Keywords

almost sure convergenceARMAX modelscombined algorithmconvergence ratesextended least squares methodmeasurement errorsminimummoving average modelroot-finding of a nonlinear regression functiontruncation at random boundsunconstrained and constrained problems

Mathematics Subject Classification ID

Stochastic approximation (62L20) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Review text

This paper deals with a joint parameter estimation and finding a root or minimum point. A stochastic approximation method with truncation at random bounds is applied to root-finding of a nonlinear regression function. While the extended least squares method is used to estimate the unknown parameters in measurement errors represented by a moving average model, convergence rates of the estimator of the unknown parameters and the root or the minimum point are derived.

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Cites work

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Cited in

(2)

• Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds
• Solving problem from systems and control by root-seeking method for functions

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