Adaptive Systems

The adaptive Robbins — Monro procedure in the case of continuous time

É. Kh. Mustafaev

Moscow

Abstract: The adaptive multi-dimensional Robbins — Monro procedure of stochastic approximation is considered for the case where random noises make up a Gaussian «white» noise. Under certain conditions this procedure is shown to be asymptotically normal with the extreme normal law featuring a minimal, in a sense, covariance matrix.

UDC: 62-501.72


Received: 11.06.1979

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