On stochastic approximation of the eigenvectors and eigenvalues of the expectation of a random matrix (Q1069252)

A stochastic approximation counterpart of the ''simultaneous iteration method'' is proposed to find the dominant eigenvalues and corresponding eigenvectors of the expectation of a random matrix. The convergence analysis of the estimates is carried out by using results of \textit{H. J. Kushner} and \textit{D. S. Clark}, Stochastic approximation methods for constrained and unconstrained systems. (1978; Zbl 0381.60004). It is shown that the proposed algorithm needs no sample moment computation and produces several eigenvalues and eigenvectors in a parallel manner. Some numerical results are presented on the convergence rate and estimation error.