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An iterative learning control (ILC) algorithm, which in essence is a stochastic approximation algorithm, is proposed for output tracking for nonlinear stochastic systems with unknown dynamics and unknown noise statistics. The nonlinear function of the system dynamics is allowed to grow up as fast as a polynomial of any degree, but the system is linear with respect to control. It is proved that the ILC generated by the algorithm a.s. converges to the optimal one at each time t∈[0,1,...,N] and the output tracking error is asymptotically minimized in the mean square sense as the number of iterates tends to infinity, although the convergence rate is rather slow. The only information used in the algorithm is the noisy observation of the system output and the reference signal yd(t). When the system state equation is free of noise and the system output is realizable, then the exact state tracking is asymptotically achieved and the tracking error is purely due to the observation noise.