Displaying similar documents to “Quadratic mean and almost-sure convergence of unbounded stochastic approximation algorithms with correlated observations”

Stochastic multivariable self-tuning tracker for non-gaussian systems

Vojislav Filipovic (2005)

International Journal of Applied Mathematics and Computer Science

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This paper considers the properties of a minimum variance self-tuning tracker for MIMO systems described by ARMAX models. It is assumed that the stochastic noise has a non-Gaussian distribution. Such an assumption introduces into a recursive algorithm a nonlinear transformation of the prediction error. The system under consideration is minimum phase with different dimensions for input and output vectors. In the paper the concept of Kronecker's product is used, which allows us to represent...

A stochastic min-driven coalescence process and its hydrodynamical limit

Anne-Laure Basdevant, Philippe Laurençot, James R. Norris, Clément Rau (2011)

Annales de l'I.H.P. Probabilités et statistiques

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A stochastic system of particles is considered in which the sizes of the particles increase by successive binary mergers with the constraint that each coagulation event involves a particle with minimal size. Convergence of a suitably renormalized version of this process to a deterministic hydrodynamical limit is shown and the time evolution of the minimal size is studied for both deterministic and stochastic models.