Stochastic approximation with long range dependent and heavy tailed noise
نویسندگان
چکیده
Stability and convergence properties of stochastic approximation algorithms are analyzed when the noise includes a long range dependent component (modeled by a fractional Brownian motion) and a heavy tailed component (modeled by a symmetric stable process), in addition to the usual ‘martingale noise’. This is motivated by the emergent applications in communications. The proofs are based on comparing suitably interpolated iterates with a limiting ordinary differential equation. Related issues such as asynchronous implementations, Markov noise, etc. are briefly discussed.
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ورودعنوان ژورنال:
- Queueing Syst.
دوره 71 شماره
صفحات -
تاریخ انتشار 2012