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We propose an online algorithm for tracking a multidimensional time-varying parameter of a time series, which is also allowed to be a predictable process with respect to the underlying time series. The algorithm is driven by a gain…
Motivated by reduction of computational complexity, this work develops sign-error adaptive filtering algorithms for estimating time-varying system parameters. Different from the previous work on sign-error algorithms, the parameters are…
Stochastic approximation is a framework unifying many random iterative algorithms occurring in a diverse range of applications. The stability of the process is often difficult to verify in practical applications and the process may even be…
In this paper we study the asymptotic behavior of a stochastic approximation scheme on two timescales with set-valued drift functions and in the presence of non-additive iterate-dependent Markov noise. It is shown that the recursion on each…
This paper is concerned with the development of rigorous approximations to various expectations associated with Markov chains and processes having non-stationary transition probabilities. Such non-stationary models arise naturally in…
In the target tracking and its engineering applications, recursive state estimation of the target is of fundamental importance. This paper presents a recursive performance bound for dynamic estimation and filtering problem, in the framework…
In this paper we propose a recursive online algorithm for estimating the parameters of a time-varying ARCH process. The estimation is done by updating the estimator at time point $t-1$ with observations about the time point $t$ to yield an…
Can stochastic gradient methods track a moving target? We study the problem of tracking multidimensional time-varying parameters under noisy observations and possible model misspecification. Gradient-based filters update the time-varying…
In this article we consider an optimization problem where the objective function is evaluated at the fixed-point of a contraction mapping parameterized by a control variable, and optimization takes place over this control variable. Since…
We consider the problem of estimating the asymptotic variance of a function defined on a Markov chain, an important step for statistical inference of the stationary mean. We design a novel recursive estimator that requires $O(1)$…
In this paper we estimate the expected error of a stochastic approximation algorithm where the maximum of a function is found using finite differences of a stochastic representation of that function. An error estimate of $O(n^{-1/5})$ for…
We propose a moving horizon estimation scheme for estimating the states and time-varying parameters of nonlinear systems. We consider the case where observability of the parameters depends on the excitation of the system and may be absent…
In this paper, we consider the problem of estimating parameters of a linear regression model. Using a hybrid systems framework, a hybrid algorithm is proposed allowing the estimate to converge to the exact value of the unknown parameters in…
Stochastic processes find applications in modelling systems in a variety of disciplines. A large number of stochastic models considered are Markovian in nature. It is often observed that higher order Markov processes can model the data…
Imprecise continuous-time Markov chains are a robust type of continuous-time Markov chains that allow for partially specified time-dependent parameters. Computing inferences for them requires the solution of a non-linear differential…
We consider the problem of fitting variational posterior approximations using stochastic optimization methods. The performance of these approximations depends on (1) how well the variational family matches the true posterior…
This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. The estimation problem is defined over a continuum of invariant distributions…
This paper considers stochastic-constrained stochastic optimization where the stochastic constraint is to satisfy that the expectation of a random function is below a certain threshold. In particular, we study the setting where data samples…
We give a development of the ODE method for the analysis of recursive algorithms described by a stochastic recursion. With variability modelled via an underlying Markov process, and under general assumptions, the following results are…
Estimating the mixing density of a mixture distribution remains an interesting problem in statistics literature. Using a stochastic approximation method, Newton and Zhang (1999) introduced a fast recursive algorithm for estimating the…