收稿日期: 2014-04-16
修回日期: 2014-08-06
网络出版日期: 2015-05-15
基金资助
国家自然科学基金(11271355,11101050,11471172)资助
Averaging-based truncated stochastic approximation algorithm
Received date: 2014-04-16
Revised date: 2014-08-06
Online published: 2015-05-15
刘仁龙 , 杨建奎 , 熊世峰 . 基于平均化的截尾随机逼近算法[J]. 中国科学院大学学报, 2015 , 32(3) : 289 -294 . DOI: 10.7523/j.issn.2095-6134.2015.03.001
In this work the stochastic approximation problem of perturbed linear systems was examined. Inspired by the averaging-based accelerated algorithm of Polyak and Juditsky(SIAM J. Control & Optimization,1992,30:838-855), we propose an averaging-based truncated algorithm. The almost sure convergence and asymptotic normality of the sequence defined by this algorithm are proved.
Key words： asymptotic normality; linear system; strong consistency
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