Title :
Some results on convergence of stochastic approximations by differential inclusion methods
Author :
Choo, Younseok ; Arapostathis, Aristotle
Author_Institution :
Dept. of Electr. & Comput. Eng., Texas Univ., Austin, TX, USA
Abstract :
The ordinary differential equation (ODE) method is one of the most powerful tools for the convergence of stochastic approximations. The objective in this method is to associate to a given algorithm a deterministic differential equation with continuous right-hand side, through which the asymptotic behavior of the algorithm is investigated. In this paper a different method using differential inclusions is described: instead of a differential equation with continuous right-hand side, a differential inclusion is associated to the given algorithm. Several types of algorithms are considered for illustration
Keywords :
approximation theory; convergence of numerical methods; set theory; convergence; differential inclusion methods; stochastic approximations; Algorithm design and analysis; Communication system control; Control systems; Convergence; Data communication; Differential equations; Filtering algorithms; Stochastic processes; System identification;
Conference_Titel :
Decision and Control, 1994., Proceedings of the 33rd IEEE Conference on
Conference_Location :
Lake Buena Vista, FL
Print_ISBN :
0-7803-1968-0
DOI :
10.1109/CDC.1994.411074
