ASYMPTOTIC NORMALITY OF THE CONTINUOUS-TIME STOCHASTIC APPROXIMATION ALGORITHM

被引：0
|
作者：
陈翰馥
机构：
[1] Academia Sinica
[2] Institute of Systems Science
来源：
Acta Mathematicae Applicatae Sinica | 1984年 / 01期
关键词：
ASYMPTOTIC NORMALITY OF THE CONTINUOUS-TIME STOCHASTIC APPROXIMATION ALGORITHM;
D O I：
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学科分类号：
摘要：
In this paper the continuous-time stochastic approximation algorithm seeking for the zero of aregression function is considered when the measurement error is a stochastic process generated by anIto integral as the input of a linear system.The conditions are given to guarantee the asymptoticnormality of the algorithm which is modified from the Robbins-Monro procedure proposed for thecase where the measurement error is a process of independent increment.
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页码：31 / 43
页数：13
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