Asymptotically optimal smoothing of averaged LMS estimates for regression parameter tracking

DOI10.1016/S0005-1098(02)00028-6zbMath1007.93076DBLPjournals/automatica/NazinL02OpenAlexW2113410501WikidataQ59591947 ScholiaQ59591947MaRDI QIDQ1614388

Lennart Ljung, Alexander Nazin

Publication date: 5 September 2002

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0005-1098(02)00028-6

zbMATH Keywords

smoothinglinear regressionLMSparameter trackingasymptotic MSEslow random walk

Mathematics Subject Classification ID

Least squares and related methods for stochastic control systems (93E24) Data smoothing in stochastic control theory (93E14)

Cites Work

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• Adaptation and tracking in system identification - a survey
• Inertia characteristics of self-adjoint matrix polynomials
• New method of stochastic approximation type
• Optimal and robust estimation of slowly drifting parameters in linear regression
• Recursive least-squares and accelerated convergence in stochastic approximation schemes
• Stochastic Approximation with Averaging of the Iterates: Optimal Asymptotic Rate of Convergence for General Processes
• Acceleration of Stochastic Approximation by Averaging

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