The properties and hardware-software implementation of Ya. Z. Tsypkin's modification of the stochastic approximation algorithm

The paper presents the analysis of Ya.Z. Tsypkin's modification of the Robbins-Monro stochastic approximation algorithm to evaluate constant signals in the presence of additive noise with an a priori unknown distribution law, including statistical outliers. The unbiasness property and the efficiency of estimation are evaluated and economical hardware realization of the algorithm is considered. The software version of the algorithm offered allows, in addition to signal estimation, algorithm parameter adjustment and initial approximation of the signal estimate, as well as detection of disorders in the measurement sequence.