Probabilistic kernel least mean squares algorithms

Il Memming Park, S. Seth, S. Van Vaerenbergh

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract / Description of output

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 resulting 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.
Original languageEnglish
Title of host publicationAcoustics, Speech and Signal Processing (ICASSP), 2014 IEEE International Conference on
PublisherInstitute of Electrical and Electronics Engineers (IEEE)
Pages8272-8276
Number of pages5
DOIs
Publication statusPublished - 1 May 2014

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