Anantharam, V. ; Borkar, V. S. (2012) Stochastic approximation with long range dependent and heavy tailed noise Queueing Systems, 71 (1-2). pp. 221-242. ISSN 0257-0130
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Official URL: http://doi.org/10.1007/s11134-012-9283-0
Related URL: http://dx.doi.org/10.1007/s11134-012-9283-0
Abstract
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.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Springer. |
| ID Code: | 135233 |
| Deposited On: | 20 Jan 2023 07:24 |
| Last Modified: | 20 Jan 2023 07:24 |
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