Journal of the American Statistical Association · 1998 · 1K citations · 0 references
EngineeringMathematicsDynamical SystemsStochastic ModelingStochastic ProcessesApproximation AlgorithmsNumerical AlgorithmsState EstimationStochastic CalculusStochastic Systems ModelingSystem IdentificationError Estimation For Time-dependent ProblemsMean Square ConvergenceMinimum Mean Square Error EstimationStochastic ApproximationStochastic State EstimationStochastic System Identification
Applications and issues application to learning, state dependent noise and queueing applications to signal processing and adaptive control mathematical background convergence with probability one - Martingale difference noise convergence with probability one - correlated noise weak convergence - introduction weak convergence methods for general algorithms applications - proofs of convergence rate of convergence averaging of the iterates distributed/decentralized and asynchronous algorithms.