| ADAPTIVE STOCHASTIC APPROXIMATION FOR MEASUREMENT WITH CORRELATED NOISE |
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| 引用本文： | 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). ADAPTIVE STOCHASTIC APPROXIMATION FOR MEASUREMENT WITH CORRELATED NOISE[J]. 系统科学与复杂性, 1992, 0(3) |
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| 作者姓名： | 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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| 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 in[1]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, 0(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 observedwith correlated noise.The algorithm is proved to be asymptotically efficient.Theresult of the paper generalizes the one shown in[1]for the observation noise be-ing i.i.d.random vectors and under other restrictive conditions imposed on theregression function. |
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| Keywords: | Adaptive stochastic approximation recursive estimation |
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