| Issue |
ESAIM: PS
Volume 23, 2019
|
|
|---|---|---|
| Page(s) | 217 - 244 | |
| DOI | https://doi.org/10.1051/ps/2018019 | |
| Published online | 01 May 2019 | |
On fixed gain recursive estimators with discontinuity in the parameters
1
MTA Alfréd Rényi Institute of Mathematics,
Budapest, Hungary.
2
Indian Institute of Technology,
Roorkee,
Uttarakhand, India.
3
University of Edinburgh,
Edinburgh,
Scotland, UK.
* Corresponding author: chau@renyi.mta.hu
Received:
22
November
2016
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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