Volume 23, 2019
|Page(s)||217 - 244|
|Published online||01 May 2019|
On fixed gain recursive estimators with discontinuity in the parameters
MTA Alfréd Rényi Institute of Mathematics,
2 Indian Institute of Technology, Roorkee, Uttarakhand, India.
3 University of Edinburgh, Edinburgh, Scotland, UK.
* Corresponding author: firstname.lastname@example.org
Accepted: 9 October 2018
In this paper, we estimate the expected tracking error of a fixed gain stochastic approximation scheme. The underlying process is not assumed Markovian, a mixing condition is required instead. Furthermore, the updating function may be discontinuous in the parameter.
Mathematics Subject Classification: 62L20 / 93E15 / 93E35
Key words: Adaptive control / stochastic gradient / fixed gain / recursive estimators / parameter discontinuity / mixing processes / non-Markovian dynamics
© EDP Sciences, SMAI 2019
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