On properties of the algorithm for pursuing a drifting quantile

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

The recurrent algorithm for pursuing a time-varying ("drifting") quantile is suggested. The common nonasymptotic upper bound of the algorithm quality is established, which is then used in a few examples of the conditions for the quantile drift function. Estimates of the degree (rate) of convergence of the algorithm for the considered examples are obtained. © 2013 Pleiades Publishing, Ltd.
Original languageEnglish
Pages (from-to)613-627
JournalAutomation and Remote Control
Volume74
DOIs
Publication statusPublished - 2013

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