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A Rapid Introduction to Adaptive FilteringStochastic Gradient Adaptive Algorithms

A Rapid Introduction to Adaptive Filtering: Stochastic Gradient Adaptive Algorithms [One way to construct adaptive algorithms leads to the so called Stochastic Gradient algorithms which will be the subject of this chapter. The most important algorithm in this family, the Least Mean Square algorithm (LMS), is obtained from the SD algorithm, employing suitable estimators of the correlation matrix and cross correlation vector. Other important algorithms as the Normalized Least Mean Square (NLMS) or the Affine Projection (APA) algorithms are obtained from straightforward generalizations of the LMS algorithm. One of the most useful properties of adaptive algorithms is the ability of tracking variations in the signals statistics. As they are implemented using stochastic signals, the update directions in these adaptive algorithms become subject to random fluctuations called gradient noise. This will lead to the question regarding the performance (in statistical terms) of these systems. In this chapter we will try to give a succinct introduction to this kind of adaptive filter and to its more relevant characteristics.] http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png

A Rapid Introduction to Adaptive FilteringStochastic Gradient Adaptive Algorithms

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/lp/springer-journals/a-rapid-introduction-to-adaptive-filtering-stochastic-gradient-iDcsAQHdeR
Publisher
Springer Berlin Heidelberg
Copyright
© The Author(s) 2013
ISBN
978-3-642-30298-5
Pages
33 –88
DOI
10.1007/978-3-642-30299-2_4
Publisher site
See Chapter on Publisher Site

Abstract

[One way to construct adaptive algorithms leads to the so called Stochastic Gradient algorithms which will be the subject of this chapter. The most important algorithm in this family, the Least Mean Square algorithm (LMS), is obtained from the SD algorithm, employing suitable estimators of the correlation matrix and cross correlation vector. Other important algorithms as the Normalized Least Mean Square (NLMS) or the Affine Projection (APA) algorithms are obtained from straightforward generalizations of the LMS algorithm. One of the most useful properties of adaptive algorithms is the ability of tracking variations in the signals statistics. As they are implemented using stochastic signals, the update directions in these adaptive algorithms become subject to random fluctuations called gradient noise. This will lead to the question regarding the performance (in statistical terms) of these systems. In this chapter we will try to give a succinct introduction to this kind of adaptive filter and to its more relevant characteristics.]

Published: Aug 4, 2012

Keywords: Adaptive Algorithm; Little Mean Square; Adaptive Filter; Mean Square Deviation; Steady State Error

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