caa a22 4500 467988846 CHVBK 20180323112539.0 cr unu---uuuuu 170328e19900301xx s 000 0 eng 10.1007/BF02551353 doi (NATIONALLICENCE)springer-10.1007/BF02551353 Analysis of an identification algorithm arising in the adaptive estimation of Markov chains [Elektronische Daten] [Aristotle Arapostathis, Steven Marcus] We investigate an algorithm applied to the adaptive estimation of partially observed finite-state Markov chains. The algorithm utilizes the recursive equation characterizing the conditional distribution of the state of the Markov chain, given the past observations. We show that the process "driving” the algorithm has a unique invariant measure for each fixed value of the parameter, and following the ordinary differential equation method for stochastic approximations, establish almost sure convergence of the parameter estimates to the solutions of an associated differential equation. The performance of the adaptive estimation scheme is analyzed by examining the induced controlled Markov process with respect to a long-run average cost criterion. Springer-Verlag New York Inc., 1990 Stochastic control nationallicence Adaptive estimation nationallicence Markov chains nationallicence Arapostathis Aristotle Department of Electrical and Computer Engineering, University of Texas at Austin, 78712, Austin, Texas, USA aut Marcus Steven Department of Electrical and Computer Engineering, University of Texas at Austin, 78712, Austin, Texas, USA aut Mathematics of Control, Signals and Systems Springer-Verlag 3/1(1990-03-01), 1-29 0932-4194 3:1<1 1990 3 498 https://doi.org/10.1007/BF02551353 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/BF02551353 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Arapostathis Aristotle Department of Electrical and Computer Engineering, University of Texas at Austin, 78712, Austin, Texas, USA aut NATIONALLICENCE 700 1- Marcus Steven Department of Electrical and Computer Engineering, University of Texas at Austin, 78712, Austin, Texas, USA aut NATIONALLICENCE 773 0- Mathematics of Control, Signals and Systems Springer-Verlag 3/1(1990-03-01), 1-29 0932-4194 3:1<1 1990 3 498 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer