This article is cited in 1 paper

Stochastic Systems, Queuing Systems

On properties of the algorithm for pursuing a drifting quantile

E. N. Belitser, P. Serra

Eindhoven University of Technology, Eindhoven, Netherlands

Abstract: The recurrent algorithm for pursuing a time-varying (“drifting”) quantile is suggested. The common nonasymptotic upper bound of the algorithm quality is established, which is then used in a few examples of the conditions for the quantile drift function. Estimates of the degree (rate) of convergence of the algorithm for the considered examples are obtained.

Presented by the member of Editorial Board: A. I. Kibzun

Received: 10.08.2012

 English version: Automation and Remote Control, 2013, 74:4, 613–627

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