Analysis of stochastic gradient algorithms for linear regression problems

DOI10.1109/TIT.1984.1056895zbMath0589.65097OpenAlexW1991315622MaRDI QIDQ3718118

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

convergencerecursive least squareslinear regressionstochastic gradient algorithmRecursive estimation of parameters

Mathematics Subject Classification ID

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

Related Items (6)

Abstract stochastic approximations and applications ⋮ Rates of convergence of adaptive step-size of stochastic approximation algorithms ⋮ Convergence of the Robbins-Monro method for linear problems in a Banach space ⋮ Adaptive RLS algorithms under stochastic excitation. - Strong consistency analysis ⋮ Sign-error adaptive filtering algorithms involving Markovian parameters ⋮ Théorèmes de convergence presque sure pour une classe d'algorithmes stochastiques à pas decroissant

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