| ADAPTIVE STOCHASTIC APPROXIMATION FOR MEASUREMENT WITH CORRELATED NOISE |
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| 作者姓名： | GAO Aijun |
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| 作者单位： | GAO Aijun (Institute of Mathematical Sciences，Chengdu Branch，Academia Sinica，Chengdu 610015，China)
CHEN Hanfu(H.F.Chen) (Institute of Systems Science，Academia Sinica，Beijing 100080，China) |
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| 基金项目： | The work is supported by the National Natural Science Foundation of China and the TWAS RG No.MP 898-117 |
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| 摘 要： | A multidimensional adaptive stochastic approximation procedure trun-cated at randomly varying bounds is studied for the regression function observedwith correlated noise.The algorithm is proved to be asymptotically efficient.Theresult of the paper generalizes the one shown in1]for the observation noise be-ing i.i.d.random vectors and under other restrictive conditions imposed on theregression function.
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ADAPTIVE STOCHASTIC APPROXIMATION FOR MEASUREMENT WITH CORRELATED NOISE |
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| GAO Aijun.ADAPTIVE STOCHASTIC APPROXIMATION FOR MEASUREMENT WITH CORRELATED NOISE[J].Journal of Systems Science and Complexity,1992(3). |
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| Authors: | GAO Aijun |
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| Abstract: | A multidimensional adaptive stochastic approximation procedure trun-
cated at randomly varying bounds is studied for the regression function observed
with correlated noise.The algorithm is proved to be asymptotically efficient.The
result of the paper generalizes the one shown in1]for the observation noise be-
ing i.i.d.random vectors and under other restrictive conditions imposed on the
regression function. |
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| Keywords: | Adaptive stochastic approximation recursive estimation |
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