Change-point monitoring for online stochastic approximations

• Published in: Automatica (Oxford) Vol. 46; no. 10; pp. 1657 - 1674
• Main Authors: Levy, Kim, Vázquez-Abad, Felisa J.
• Format: Journal Article
• Language: English
• Published: Kidlington Elsevier Ltd 01.10.2010; Elsevier
• Subjects: Adaptation; Applied sciences; Approximation; Asymptotic properties; Change-point monitoring; Computer science; control theory; systems; Control theory. Systems; Convergence; Cutting; Exact sciences and technology; Modelling and identification; Monitoring; Non-stationary environment; Online tracking; Regression analysis; Stochastic approximation; Stochasticity; Weak convergence; Weak convergence; Online tracking; Stochastic approximation; Change-point monitoring; Non-stationary environment; Stopping time; Non stationary process; Hypothesis test; Cutting; Surveillance; Sudden variation; regime switching model; Asymptotic approximation; System identification; Monitoring

We consider stochastic approximations in a quickly changing non-stationary environment. We assume the parameters of the system are subject to sudden discontinuous changes, which we refer to as regime-switching. We are interested in problems characterized by frequent significant jumps with no a prior...