Discrete-time minimum tracking based on stochastic approximation algorithm with randomized differences

@article{Granichin2009DiscretetimeMT,
  title={Discrete-time minimum tracking based on stochastic approximation algorithm with randomized differences},
  author={Oleg N. Granichin and Lev Gurevich and Alexander T. Vakhitov},
  journal={Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference},
  year={2009},
  pages={5763-5767}
}
In this paper application of the stochastic approximation algorithm with randomized differences to the minimum tracking problem for the non-constrained optimization is considered. The upper bound of mean-squared estimation error is derived in the case of once differentiable functional and almost arbitrary observation noise. Numerical simulation of the… CONTINUE READING