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STABILITY OF RECURSIVE STOCHASTIC TRACKING ALGORITHMS
GUO, L
1994-09-01
Source PublicationSIAM JOURNAL ON CONTROL AND OPTIMIZATION
ISSN0363-0129
Volume32Issue:5Pages:1195-1225
AbstractFirst, the paper gives a stability study for the random linear equation x(n+1) = (I - A(n))x(n). It is shown that for a quite general class of random matrices {A(n)} of interest, the stability of such a vector equation can be guaranteed by that of a corresponding scalar linear equation, for which various results are given without requiring stationary or mixing conditions. Then, these results are applied to the main topic of the paper, i.e., to the estimation of time varying parameters in linear stochastic systems, giving a unified stability condition for various tracking algorithms including the standard Kalman filter, least mean squares, and least squares with forgetting factor.
KeywordSTOCHASTIC SYSTEMS ADAPTIVE SYSTEMS PARAMETER ESTIMATION TRACKING ALGORITHMS TIME VARYING STABILITY EXCITATION
Language英语
WOS Research AreaAutomation & Control Systems ; Mathematics
WOS SubjectAutomation & Control Systems ; Mathematics, Applied
WOS IDWOS:A1994PC72700001
PublisherSIAM PUBLICATIONS
Citation statistics
Cited Times:51[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/27629
Collection中国科学院数学与系统科学研究院
AffiliationCHINESE ACAD SCI,INST SYST SCI,BEIJING 100080,PEOPLES R CHINA
Recommended Citation
GB/T 7714
GUO, L. STABILITY OF RECURSIVE STOCHASTIC TRACKING ALGORITHMS[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,1994,32(5):1195-1225.
APA GUO, L.(1994).STABILITY OF RECURSIVE STOCHASTIC TRACKING ALGORITHMS.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,32(5),1195-1225.
MLA GUO, L."STABILITY OF RECURSIVE STOCHASTIC TRACKING ALGORITHMS".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 32.5(1994):1195-1225.
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