書誌事項
- タイトル別名
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- An Extension of the Adaptive Robbins-Monro Procedure
- テキオウ カクリツ キンジホウ ノ カクチョウ
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説明
The adaptive Robbins-Monro stochastic approximation procedure is extended. Parameter convergence rate of the stochastic approximation procedure crucially depends on the gain coefficient which determines the increment of the parameter at each step. The adaptive Robbins-Monro procedure contains an algorithm to estimate the optimal gain. In this paper, an extension of this algorithm for the gain is proposed. We clarify the conditions which guarantee the convergence of the gain to the optimal one. Under these conditions, it becomes possible to improve the parameter convergence rate of the stochastic approximation procedure. An illustrative example is shown.
収録刊行物
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- 計測自動制御学会論文集
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計測自動制御学会論文集 23 (11), 1186-1191, 1987
公益社団法人 計測自動制御学会
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詳細情報 詳細情報について
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- CRID
- 1390001204502700800
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- NII論文ID
- 130003969383
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- NII書誌ID
- AN00072392
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- ISSN
- 18838189
- 04534654
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- NDL書誌ID
- 3149992
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- データソース種別
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- NDL
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