KMS Of Academy of mathematics and systems sciences, CAS
| STABILITY OF RECURSIVE STOCHASTIC TRACKING ALGORITHMS | |
| GUO, L | |
| 1994-09-01 | |
| Source Publication | SIAM JOURNAL ON CONTROL AND OPTIMIZATION
 |
| ISSN | 0363-0129 |
| Volume | 32Issue:5Pages:1195-1225 |
| Abstract | First, 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. |
| Keyword | STOCHASTIC SYSTEMS ADAPTIVE SYSTEMS PARAMETER ESTIMATION TRACKING ALGORITHMS TIME VARYING STABILITY EXCITATION |
| Language | 英语 |
| WOS Research Area | Automation & Control Systems ; Mathematics |
| WOS Subject | Automation & Control Systems ; Mathematics, Applied |
| WOS ID | WOS:A1994PC72700001 |
| Publisher | SIAM PUBLICATIONS |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/27629 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | GUO, L |
| Affiliation | CHINESE 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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