Least mean square algorithms with Markov regime-switching limit

@article{Yin2005LeastMS,
  title={Least mean square algorithms with Markov regime-switching limit},
  author={Gang George Yin and Vikram Krishnamurthy},
  journal={IEEE Transactions on Automatic Control},
  year={2005},
  volume={50},
  pages={577-593}
}
We analyze the tracking performance of the least mean square (LMS) algorithm for adaptively estimating a time varying parameter that evolves according to a finite state Markov chain. We assume the Markov chain jumps infrequently between the finite states at the same rate of change as the LMS algorithm. We derive mean square estimation error bounds for the tracking error of the LMS algorithm using perturbed Lyapunov function methods. Then combining results in two-time-scale Markov chains with… CONTINUE READING
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Analysis of LMS algorithm for Markovian parameters with infrequent jumps—Applications to tracking hidden Markov models and adaptive multiuser detection in DS/CDMA

  • G. Yin, V. Krishnamurthy
  • IEEE Trans. Inform. Theory, Jul. 2005, to be…
  • 2005
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Stochastic Approximation Algorithms and Recursive Algorithms and Applications, 2nd ed

  • H. J. Kushner, G. Yin
  • 2003
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