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Stability of Random Iterative Mappings

In: Modeling Uncertainty

Author

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  • László Gerencsér

    (Hungarian Academy of Sciences)

Abstract

We consider a sequence of not necessarily i.i.d. random mappings that arise in discrete-time fixed-gain recursive estimation processes. This is related to the sequence generated by the discrete-time deterministic recursion defined in terms of the averaged field. The tracking error is majorated by an L-mixing process the moments of which can be estimated. Thus we get a discrete-time stochastic averaging principle. The paper is a simplification and extension of Gerencsér (1996).

Suggested Citation

  • László Gerencsér, 2002. "Stability of Random Iterative Mappings," International Series in Operations Research & Management Science, in: Moshe Dror & Pierre L’Ecuyer & Ferenc Szidarovszky (ed.), Modeling Uncertainty, chapter 0, pages 359-371, Springer.
    • Handle: RePEc:spr:isochp:978-0-306-48102-4_17
    DOI: 10.1007/0-306-48102-2_17
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