| 相关量测噪声下的修正动态随机逼近算法 |
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| 引用本文： | 杨玉钦.相关量测噪声下的修正动态随机逼近算法[J].厦门大学学报(自然科学版),1990,29(6):604-609. |
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| 作者姓名： | 杨玉钦 |
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| 作者单位： | 厦门大学计算机与系统科学系 |
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| 摘 要： | 将Ruppert 提出的模型推广到带有 ARMA 量测噪声的多维情形。提出了修正动态随机逼近算法,并证明它在 C?aro 意义下的(a,?)收敛性。最后还考虑了特殊情形下算法的(a,?)收敛性。
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| 关 键 词： | 动态随机逼近 ARMA过程 噪声 |
A Modified Dynamic Stochastic Approximation Algorithms under Correlated Case with ARMA Measurement Noise |
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| Yang Yuqin Deft,of Compu. mi Sys. Set..A Modified Dynamic Stochastic Approximation Algorithms under Correlated Case with ARMA Measurement Noise[J].Journal of Xiamen University(Natural Science),1990,29(6):604-609. |
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| Authors: | Yang Yuqin Deft of Compu mi Sys Set |
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| Abstract: | In this paper,the model given by Ruppert is extended to multidimensional case with ARMA measurement noise. A modified dynamic stochastic approximation algorithm is presented and which Convergence in Cesaro average sense is proved. |
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| Keywords: | Dynamic stochastic approximation ARMA process Martingale convergence theorem |
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