On a Perturbation Approach for the Analysis of Stochastic Tracking Algorithms

DOI10.1137/S0363012998333852MaRDI QIDQ4507483zbMATH OpenOpenAlexFDO

Authors Rafik Aguech, Eric Moulines, P. Priouret

Publication date 18 October 2000

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0363012998333852

zbMATH Keywords

adaptive tracking algorithmsexpansion techniqueslinear regressionperformance analysistime-varying parameter

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24)

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Cited in

(16)

• Tracking randomly varying parameters: Analysis of a standard algorithm
• Perturbation expansions in polynomial root tracking
• Analyzing noise-induced tracking errors in control systems with saturation: a stochastic linearization approach
• Bridging the gap between constant step size stochastic gradient descent and Markov chains
• A recursive online algorithm for the estimation of time-varying ARCH parameters
• On the solution of stochastic optimization and variational problems in imperfect information regimes
• Tracking properties of adaptive signal processing algorithms
• Performance estimates in tracking under white-noise perturbations
• Frequency domain tracking characteristics of adaptive algorithms
• A result on the mean square error obtained using general tracking algorithms
• A robust algorithm for random parameter tracking
• A remark on the stability of the l.m.s. tracking algorithm
• Tracking in clutter with strongest neighbor measurements. I. Theoretical analysis
• scientific article; zbMATH DE number 1903409 (Why is no real title available?)
• Performance analysis of general tracking algorithms
• On recursive estimation for time varying autoregressive processes

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