A stochastic variable metric algorithm for system modelling and identification
作者:
H. A. BARKER,
R. K. APPIAH,
期刊:
International Journal of Systems Science
(Taylor Available online 1971)
卷期:
Volume 2,
issue 2
页码: 119-134
ISSN:0020-7721
年代: 1971
DOI:10.1080/00207727108920183
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
A variable gain matrix is proposed for the multi-dimensional Robbins-Monro stochastic approximation process for gradient search optimization over an unknown regression surface. The algorithm uses only the gradient or matrix gradient of the objective function and hence is not restricted to the minimum-mean-square-error criterion. It is compared with the recursive least squaros method in identifying a class of discrete non-linear dynamic systems with constant and time-varying parameters.
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