Stochastic approximation with averaging and feedback: rapidly convergent "on-line" algorithms

Consider the stochastic approximation X/sub n+1/=X/sub n/+a/sub n/g(X/sub n/, /spl xi//sub n/), where 00. The averaging method is essentially "off line" in the sense that the actual SA iterate X/sub n/ is not influenced by the averaging. In many applications, X/sub n/ itself is of greatest interest, since that is the "operating parameter". This paper deals with the problem of stochastic approximation with averaging and with appropriate feedback of the averages into the original algorithm. It is shown both mathematically and via simulation that it works very well and has numerous advantages. It is a clear improvement over the system X/sub n/ by itself. It is fairly robust, and quite often it is much preferable to the use of the above averages without feedback. The authors deal, in particular, with "linear" algorithms of the type appearing in parameter estimators, adaptive noise cancellers, channel equalizers, adaptive control, and similar applications. The main development is for the constant parameter case because of its importance in applications. But analogous results hold for the case where a/sub n//spl rarr/0.<>