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Error bounds on stochastic approximates in discrete nonlinear dynamical systems

Error bounds on stochastic approximates in discrete nonlinear dynamical systems

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A mean-square error bound associated with gains utilised in stochastic approximation procedures is derived here. A specific bound is obtained for the case when the forcing function is a white noise process and the gain is specified.

References

    1. 1)
      • O. Ibidapo-Obe , T. Prasad . An adaptive algorithm for optimal nonlinear estimation in stochastic systems. Int. J. Syst. Sci. , 1209 - 1232
    2. 2)
      • A.E. Albert , L.A. Gardner . (1967) , Stochastic approximation and nonlinear regression.
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