By Dr. Sally Shao
Department of Mathematics
Cleveland State University
shao@math.csuohio.edu
Percy P.C. Yip
AI Ware, Inc., Beachwood
percy_yip@yahoo.com
We propose a new adaptive algorithm with decreasing
step-size for stochastic approximations. The use of adaptive algorithm is
widely spread
in various
applications across the fields such as system identification and adaptive
control. We
analyze the rate of convergence of the proposed algorithms. An averaging
algorithm,
on its optimality of the rate of convergence, is using to control the step
sizes. Our
proofs are based on recent results in stochastic approximations and Guass
approximation
Theorem.
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3rd Forum On Numerics & Modeling for
Partial Differential Equations