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# 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} }

- Published 2005 in IEEE Transactions on Automatic Control
DOI:10.1109/TAC.2005.847060

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 withâ€¦Â CONTINUE READING

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