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Aspects on Accelerated Convergence in Stochastic Approximation Schemes
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1994 (English)Report (Other academic)
Abstract [en]

So called accelerated convergence is an ingenuous idea to improve the asymptotic accuracy in stochastic approximation (gradient based) algorithms. The estimates obtained from the basic algorithm are subjected to a second round of averaging, which leads to optimal accuracy for estimates of time-invariant parameters. In this contribution some simple and approximate calculations are used to get some intuitive insight into these mechanisms. Of particular interest is to investigate the properties of accelerated convergence schemes in tracking situations.

Place, publisher, year, edition, pages
Linköping: Linköping University , 1994. , 9 p.
LiTH-ISY-R, ISSN 1400-3902 ; 1663
Keyword [en]
Tracking algorithms
Keyword [sv]
Cybernetik Informationsteori
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-55129ISRN: LITH-ISY-R-1663OAI: diva2:315720
Available from: 2010-04-29 Created: 2010-04-29 Last updated: 2014-09-18Bibliographically approved

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Ljung, Lennart
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Automatic ControlThe Institute of Technology
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ReferencesLink to record
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