Probabilistic kernel least mean squares algorithms

Il Memming Park, Sohan Seth, Steven Van Vaerenbergh
2014 2014 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)  
The kernel least mean squares (KLMS) algorithm is a computationally efficient nonlinear adaptive filtering method that "kernelizes" the celebrated (linear) least mean squares algorithm. We demonstrate that the least mean squares algorithm is closely related to the Kalman filtering, and thus, the KLMS can be interpreted as an approximate Bayesian filtering method. This allows us to systematically develop extensions of the KLMS by modifying the underlying state-space and observation models. The
more » ... sulting extensions introduce many desirable properties such as "forgetting", and the ability to learn from discrete data, while retaining the computational simplicity and time complexity of the original algorithm.
doi:10.1109/icassp.2014.6855214 dblp:conf/icassp/ParkSV14 fatcat:rm6gllcivrfm5bhkht66xacnk4