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Avtomatika i Telemekhanika, 1980, Issue 6, Pages 80–84 (Mi at7108)  
Adaptive Systems

The adaptive Robbins — Monro procedure in the case of continuous time

É. Kh. Mustafaev

Moscow
Full-text PDF (732 kB)
Abstract: The adaptive multi-dimensional Robbins — Monro procedure of stochastic approximation is considered for the case where random noises make up a Gaussian «white» noise. Under certain conditions this procedure is shown to be asymptotically normal with the extreme normal law featuring a minimal, in a sense, covariance matrix.

Received: 11.06.1979
Bibliographic databases:
Document Type: Article
UDC: 62-501.72
Language: Russian
Citation: É. Kh. Mustafaev, “The adaptive Robbins — Monro procedure in the case of continuous time”, Avtomat. i Telemekh., 1980, no. 6, 80–84
Citation in format AMSBIB
\Bibitem{Mus80}
\by \'E.~Kh.~Mustafaev
\paper The adaptive Robbins --- Monro procedure in the case of continuous time
\jour Avtomat. i Telemekh.
\yr 1980
\issue 6
\pages 80--84
\mathnet{http://mi.mathnet.ru/at7108}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=627206}
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