STABILITY OF RECURSIVE STOCHASTIC TRACKING ALGORITHMS

	STABILITY OF RECURSIVE STOCHASTIC TRACKING ALGORITHMS
	GUO, L
刊名	SIAM JOURNAL ON CONTROL AND OPTIMIZATION
	1994-09-01
卷号	32 期号:5 页码:1195-1225
关键词	STOCHASTIC SYSTEMS ADAPTIVE SYSTEMS PARAMETER ESTIMATION TRACKING ALGORITHMS TIME VARYING STABILITY EXCITATION
ISSN号	0363-0129
英文摘要	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.
语种	英语
出版者	SIAM PUBLICATIONS
WOS记录号	WOS:A1994PC72700001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/27628]
专题	中国科学院数学与系统科学研究院
通讯作者	GUO, L
作者单位	CHINESE ACAD SCI,INST SYST SCI,BEIJING 100080,PEOPLES R CHINA
推荐引用方式 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.