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›› 2015, Vol. 32 ›› Issue (3): 289-294.DOI: 10.7523/j.issn.2095-6134.2015.03.001

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Averaging-based truncated stochastic approximation algorithm

LIU Renlong1, YANG Jiankui1, XIONG Shifeng2   

  1. 1. School of Science, Beijing University of Posts and Telecommunications, Beijng 100876, China;
    2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
  • Received:2014-04-16 Revised:2014-08-06 Online:2015-05-15

Abstract:

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

CLC Number: