ASYMPTOTICAL STUDY OF PARAMETER TRACKING ALGORITHMS

Authors
DELYON B JUDITSKY A
Citation
B. Delyon et A. Juditsky, ASYMPTOTICAL STUDY OF PARAMETER TRACKING ALGORITHMS, SIAM journal on control and optimization, 33(1), 1995, pp. 323-345
Citations number
20
Categorie Soggetti
Controlo Theory & Cybernetics",Mathematics
Journal title
SIAM journal on control and optimization → ACNP
ISSN journal
03630129
Volume
33
Issue
1
Year of publication
1995
Pages
323 - 345
Database
ISI
SICI code
0363-0129(1995)33:1<323:ASOPTA>2.0.ZU;2-T
Abstract
This paper addresses the problem of tracking random drifting parameter s of a linear regression system. The asymptotic properties of several estimation algorithms in the limit of slow drift are studied. The basi c tool is the central limit theorem for a class of stochastic differen ce equations established under weak conditions on disturbances and obs ervations. The estimates of the rate of convergence obtained in the pa per allow the asymptotically optimal algorithms to be developed.