On the convergence of stochastic approximation procedures under Markov noise in the measurements

DOI10.1016/0021-8928(81)90141-6zbMath0499.62069OpenAlexW2051218226MaRDI QIDQ1171855

I. Ya. Kats

Publication date: 1981

Published in: Journal of Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0021-8928(81)90141-6

zbMATH Keywords

Wiener processMarkov noisecontinuous stochastic approximationconvergence of stochastic approximation proceduresRobbins-Monro procedures

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic approximation (62L20) Sequential estimation (62L12)

Cites Work

• Stochastic optimization algorithms with Markov noise in gradient measurements
• Generalized problems in stochastic approximation
• On the stability of systems with random parameters
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