Gaussian-Process Based Estimation of the Kernel Parameters in Kernel Adaptive Filtering

Matlab source code to estimate the optimal hyperparameters for Kernel Recursive Least Squares and other kernel adaptive filters.

This code can be found in the KAFBOX Toolbox. Demos for parameter estimation can be found in the folder "demo".

References

Van Vaerenbergh, S., I. Santamaría, and M. Lázaro-Gredilla, "Estimation of the Forgetting Factor in Kernel Recursive Least Squares", 2012 IEEE International Workshop On Machine Learning For Signal Processing (MLSP), September, 2012.

PDF Version (241.23 KB)

Pérez-Cruz, F., S. Van Vaerenbergh, J J. Murillo-Fuentes, M. Lázaro-Gredilla, and I. Santamaría, "Gaussian Processes for Nonlinear Signal Processing: An Overview of Recent Advances", IEEE Signal Processing Magazine, vol. 30, issue 4, pp. 40-50, July, 2013.

PDF Version (1.68 MB)