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Continuous-Time Tracking Algorithms Involving Two-Time-Scale Markov Chains

Yin, George; Zhang, Qing; Moore, John; Liu, Y J


This work is concerned with least-mean-squares (LMS) algorithms in continuous time for tracking a time-varying parameter process. A distinctive feature is that the true parameter process is changing at a fast pace driven by a finite-state Markov chain. The states of the Markov chain are divisible into a number of groups. Within each group, the transitions take place rapidly; among different groups, the transitions are infrequent. Introducing a small parameter into the generator of the Markov...[Show more]

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
Source: IEEE Transactions on Signal Processing
DOI: 10.1109/TSP.2005.859345


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