A Unified View of Adaptive Variable-Metric Projection Algorithms

Autor: Masahiro Yukawa, Isao Yamada
Jazyk: angličtina
Rok vydání: 2009
Předmět:
Zdroj: EURASIP Journal on Advances in Signal Processing, Vol 2009 (2009)
Druh dokumentu: article
ISSN: 1687-6172
1687-6180
DOI: 10.1155/2009/589260
Popis: We present a unified analytic tool named variable-metric adaptive projected subgradient method (V-APSM) that encompasses the important family of adaptive variable-metric projection algorithms. The family includes the transform-domain adaptive filter, the Newton-method-based adaptive filters such as quasi-Newton, the proportionate adaptive filter, and the Krylov-proportionate adaptive filter. We provide a rigorous analysis of V-APSM regarding several invaluable properties including monotone approximation, which indicates stable tracking capability, and convergence to an asymptotically optimal point. Small metric-fluctuations are the key assumption for the analysis. Numerical examples show (i) the robustness of V-APSM against violation of the assumption and (ii) the remarkable advantages over its constant-metric counterpart for colored and nonstationary inputs under noisy situations.
Databáze: Directory of Open Access Journals
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