
Accession Number : AD0605739
Title : ON STOCHASTIC APPROXIMATION METHOD AND OPTIMAL FILTERING THEORY,
Corporate Author : RAND CORP SANTA MONICA CALIF
Personal Author(s) : Ho,Yu Chi
Report Date : AUG 1962
Pagination or Media Count : 6
Abstract : This paper establishes some connections among the maximum likelihood estimate, the optimal filtering and the stochastic approximation solutions to the following wellknown problem: Consider the vectormatrix equations Ax + v sub k = b sub k = 1, 2, ... where A is a given r x n matrix; x is an unknown nvector; v sub k is a random rvector with E(v sub k) = 0 and E(v sub k v sub j) = I delta(k  j) b sub k is a rvector of observation. It is desired to determine an estimate x for the unknown parameters x which is optimal in some sense.
Descriptors : (*STOCHASTIC PROCESSES, MATRICES(MATHEMATICS)), OPTIMIZATION, MATHEMATICAL PREDICTION, VECTOR ANALYSIS, STATISTICAL ANALYSIS
Distribution Statement : APPROVED FOR PUBLIC RELEASE