Proceedings of the KIEE Conference (대한전기학회:학술대회논문집)
- 1995.07b
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- Pages.901-903
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- 1995
Convergence analysis of stochastic recursive algorithms
DI기법에 의한 스토케스틱 순환적 알고리즘의 수렴분석
- Choo, Youn-Seok (Department of Electronic and Computer Engineering, Hongik University)
- 추연석 (홍익대학교 전자전산공학과)
- Published : 1995.07.20
Abstract
The ordinary differential equation (ODE) method has been widely used for the convergence analysis of stochastic recursive algorithms. The principal objective of this method is to associate to a given algorithm a differential equation with continuous righthand side. Usually some assumptions should be imposed to get such a differential equation. If any of assumptions fails, then the ODE method cannot be used. Recently a new method using differential inclusions (DIs) was introduced in [3], which is useful to deal with those cases. The DI method shares the same idea with the ODE method, but it is different in that a differential inclusion is identified instead of a differential equation with continuous righthand side. In this paper, we briefly review the DI method and then analyze a Robbins and Monro (RM)-type algorithm. Our focus is placed on the projected algorithm.
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