Signed adaptive filtering algorithms with iterate averaging

TitleSigned adaptive filtering algorithms with iterate averaging
Publication TypeConference Paper
Year of Publication2001
AuthorsYin, G., and V. Krishnamurthy
Conference NameDecision and Control, 2001. Proceedings of the 40th IEEE Conference on
Pagination2508 -2513 vol.3
Keywordsadaptive filters, asymptotic covariance, asymptotic efficiency, asymptotic normality, asymptotic optimality, averaged sign-error algorithm, convergence of numerical methods, convergence probability, covariance analysis, error analysis, estimate sequence, estimation error scaled sequence, estimation theory, iterate averaging, iterative methods, large step sizes, minimisation, minimizer, sequences, signed adaptive filtering algorithms, two-stage sign algorithms

This paper develops two-stage sign algorithms for adaptive filtering. The proposed algorithms are based on constructions of a sequence of estimates using large step sizes followed by iterate averaging. It is proved that the averaged sign-error algorithm converges to the minimizer with probability one. Then the asymptotic normality of a suitably scaled sequence of the estimation error is established. The asymptotic covariance is explicitly calculated and shown to be the smallest possible. Hence the asymptotic efficiency or asymptotic optimality is obtained


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