Stochastic approximation, with applications.
Many applications lead (from the mathematical point of view) to the problem of finding a root of some function. There exist many common (deterministic) numerical methods to solve this problem in the case when the above mentioned function is observed without errors. In the case when the observations are corrupted by errors, the stochastic approximation methods can be employed. These methods belong to the iterative methods and they were, first, introduced by Robbins and Monro. The asymptotic behaviour of these methods have been investigated (in the literature) mostly under the assumptions that the observed errors can be modelled as a sequence of independent identically distributed random variables and, moreover, that they are independent of the value of the function. The aim of the paper is to deal with the case when the last assumption is not fulfilled. In detail, a new algorithm is suggested (for this case) in the paper. At the end, the algorithm is applied to an adaptive filtering problem. For the entire collection see [Zbl 1005.00025].
- Sequential Estimation in Stochastic Approximation Problem with Autoregressive Errors in Observations
- Stochastic approximation algorithms and applications
- scientific article; zbMATH DE number 4036974
- Stochastic approximation and its applications
- Consistency of stochastic approximation algorithm with quasi-associated random errors
- Stochastic approximation - A powerful method for solving deterministic numerical problems
- Abstract stochastic approximations and applications
- General multilevel adaptations for stochastic approximation algorithms of Robbins-Monro and Polyak-Ruppert type
- scientific article; zbMATH DE number 5348356 (Why is no real title available?)
- scientific article; zbMATH DE number 3924649 (Why is no real title available?)
- Sequential Estimation in Stochastic Approximation Problem with Autoregressive Errors in Observations
- scientific article; zbMATH DE number 903864 (Why is no real title available?)
- From subgaussianity to stochastic approximation and modelling
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