Recursive estimation of minimum eigenvalues of information matrices (Q1094382)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recursive estimation of minimum eigenvalues of information matrices |
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Recursive estimation of minimum eigenvalues of information matrices (English)
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1987
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A recursive procedure is suggested for estimating the minimum eigenvalues of information matrices on the basis of observed data. It is proved that this estimation algorithm has global convergence with probability 1. In the case of parameter identification and stochastic adaptive control, this procedure makes it possible to obtain realizable asymptotically optimal algorithms of stochastic approximation with a scalar gain matrix.
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information matrices
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estimation algorithm
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global convergence
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parameter identification
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stochastic adaptive control
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