Stochastic approximation with non-additive measurement noise

CSpace

	Stochastic approximation with non-additive measurement noise
	Chen, HF
	1998-06-01
发表期刊	JOURNAL OF APPLIED PROBABILITY
ISSN	0021-9002
卷号	35 期号:2 页码:407-417
摘要	The Robbins-Monro algorithm with randomly varying truncations for measurements with non-additive noise is considered. Assuming that the function under observation is locally Lipschitz-continuous in its first argument and that the noise is a phi-mixing process, strong consistency of the estimate is shown. Neither growth rate restriction on the function, nor the decreasing rate of the mixing coefficients are required.
关键词	stochastic approximation non-additive noise randomly varying truncation
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000075623000012
出版者	APPLIED PROBABILITY TRUST
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/13671
专题	中国科学院数学与系统科学研究院
通讯作者	Chen, HF
作者单位	Chinese Acad Sci, Inst Syst Sci, Lab Syst & Control, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Chen, HF. Stochastic approximation with non-additive measurement noise[J]. JOURNAL OF APPLIED PROBABILITY,1998,35(2):407-417.
APA	Chen, HF.(1998).Stochastic approximation with non-additive measurement noise.JOURNAL OF APPLIED PROBABILITY,35(2),407-417.
MLA	Chen, HF."Stochastic approximation with non-additive measurement noise".JOURNAL OF APPLIED PROBABILITY 35.2(1998):407-417.