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Asymptotic equivalent analysis of the LMS algorithm under linearly filtered processes
AuthorRupp, Markus
Published in
EURASIP Journal on Advances in Signal Processing, 2016, Vol. 2016, Issue 18, page 1-16
PublishedSpringerOpen, 2016
Published version
Document typeJournal Article
Keywords (EN)Adaptive gradient-type filters / Mismatch / Misadjustment
URNurn:nbn:at:at-ubtuw:3-2015 Persistent Identifier (URN)
 The work is publicly available
Asymptotic equivalent analysis of the LMS algorithm under linearly filtered processes [2.01 mb]
Abstract (English)

While the least mean square (LMS) algorithm has been widely explored for some specific statistics of the driving process, an understanding of its behavior under general statistics has not been fully achieved. In this paper, the mean square convergence of the LMS algorithm is investigated for the large class of linearly filtered random driving processes. In particular, the paper contains the following contributions: (i) The parameter error vector covariance matrix can be decomposed into two parts, a first part that exists in the modal space of the driving process of the LMS filter and a second part, existing in its orthogonal complement space, which does not contribute to the performance measures (misadjustment, mismatch) of the algorithm. (ii) The impact of additive noise is shown to contribute only to the modal space of the driving process independently from the noise statistic and thus defines the steady state of the filter. (iii) While the previous results have been derived with some approximation, an exact solution for very long filters is presented based on a matrix equivalence property, resulting in a new conservative stability bound that is more relaxed than previous ones. (iv) In particular, it will be shown that the joint fourth-order moment of the decorrelated driving process is a more relevant parameter for the step-size bound rather than, as is often believed, the second-order moment. (v) We furthermore introduce a new correction factor accounting for the influence of the filter length as well as the driving process statistic, making our approach quite suitable even for short filters. (vi) All statements are validated by Monte Carlo simulations, demonstrating the strength of this novel approach to independently assess the influence of filter length, as well as correlation and probability density function of the driving process.

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