Adaptive stepsize selection for tracking in a non-stationary environment: a new pre-emptive approach

We consider the problem of using a stochastic approximation algorithm to perform online tracking in a non-stationary environment characterized by infrequent and sudden "regime changes". The primary contribution of this paper is a new approach for adaptive stepsize selection that is suitabl...

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Veröffentlicht in:	Proceedings of the 45th IEEE Conference on Decision and Control S. 1817 - 1822
Hauptverfasser:	Costa, A., Vazquez-Abad, F.J.
Format:	Tagungsbericht
Sprache:	Englisch
Veröffentlicht:	IEEE 01.12.2006
Schlagworte:	Adaptive control Approximation algorithms Convergence Drives Linear systems Programmable control Random variables Real time systems regime switching stochastic approximation Stochastic processes tracking USA Councils weak convergence
ISBN:	9781424401710, 1424401712
ISSN:	0191-2216
Online-Zugang:	Volltext
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