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A Stochastic Newton-Raphson Method with Noisy Function Measurements

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dc.contributor.author Saab, Khaled Kamal
dc.contributor.author Saab, Samer Said
dc.date.accessioned 2019-07-31T10:51:43Z
dc.date.available 2019-07-31T10:51:43Z
dc.date.copyright 2016 en_US
dc.identifier.issn 1070-9908 en_US
dc.identifier.uri http://hdl.handle.net/10725/11180
dc.description.abstract This letter shows that traditional Newton-Raphson (NR) method cannot achieve zero-convergence in presence of additive noise without adding a multiplicative gain. Furthermore, this gain needs to converge to zero. This article proposes a novel recursive algorithm providing optimal iterative-varying gains associated with the NR method. The development of the proposed optimal algorithm is based on minimizing a stochastic performance index. The estimation error covariance matrix is shown to converge to zero for linearized functions while considering additive zero-mean white noise. In addition, the proposed approach is capable of overcoming common drawbacks associated with the traditional NR method. Simulation results are included to illustrate the performance capabilities of the proposed algorithm. We show that the proposed recursive algorithm provides significant improvement over the traditional NR method. en_US
dc.language.iso en en_US
dc.title A Stochastic Newton-Raphson Method with Noisy Function Measurements en_US
dc.type Article en_US
dc.description.version Published en_US
dc.author.school SOE en_US
dc.author.idnumber 199690250 en_US
dc.author.department Electrical And Computer Engineering en_US
dc.description.embargo N/A en_US
dc.relation.journal IEEE Signal Processing Letters en_US
dc.journal.volume 23 en_US
dc.journal.issue 3 en_US
dc.article.pages 361-365 en_US
dc.keywords Newton-Raphson method en_US
dc.keywords Noisy function measurements en_US
dc.keywords Stochastic optimization en_US
dc.identifier.doi http://dx.doi.org/10.1109/LSP.2015.2511456 en_US
dc.identifier.ctation Saab, K. K., & Saab, S. S. (2015). A stochastic Newton-Raphson method with noisy function measurements. IEEE signal processing letters, 23(3), 361-365. en_US
dc.author.email ssaab@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url https://ieeexplore.ieee.org/abstract/document/7364187 en_US
dc.orcid.id https://orcid.org/0000-0003-0124-8457 en_US
dc.author.affiliation Lebanese American University en_US


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