Analysis of stochastic gradient algorithms for linear regression problems

DOI10.1109/TIT.1984.1056895MaRDI QIDQ3718118zbMATH OpenOpenAlexFDO

Authors Lennart Ljung

Publication date 1984

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.1984.1056895

zbMATH Keywords

convergencelinear regressionRecursive estimation of parametersrecursive least squaresstochastic gradient algorithm

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Sequential estimation (62L12) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(14)

• Théorèmes de convergence presque sure pour une classe d'algorithmes stochastiques à pas decroissant
• Abstract stochastic approximations and applications
• Convergence of the Robbins-Monro method for linear problems in a Banach space
• Rates of convergence of adaptive step-size of stochastic approximation algorithms
• Analysis of stochastic gradient descent in continuous time
• Recursive least-squares and accelerated convergence in stochastic approximation schemes
• Convergence of an adaptive linear estimation algorithm
• Comparison of least-squares and stochastic gradient lattice predictor algorithms using two performance criteria
• scientific article; zbMATH DE number 1322672 (Why is no real title available?)
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• Recursive ridge regression using second-order stochastic algorithms
• Adaptive RLS algorithms under stochastic excitation. - Strong consistency analysis
• Elementwise decoupling and convergence of the Riccati equation in the SG algorithm
• Performance analysis of stochastic gradient algorithms under weak conditions

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