Error bounds on stochastic approximates in discrete nonlinear dynamical systems

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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.

Inspec keywords: discrete systems; nonlinear systems; stochastic systems

Other keywords: discrete nonlinear dynamical systems; error bounds; stochastic approximates

Subjects: Discrete control systems; Time-varying control systems; Nonlinear control systems

References

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