Probabilistic Kernel Least Mean Squares Algorithms

TitleProbabilistic Kernel Least Mean Squares Algorithms
Publication TypeConference Paper
Year of Publication2014
AuthorsI M. Park, S. Seth, and S. Van Vaerenbergh
Conference Name2014 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)
Month Published05/2014
Keywordskernel adaptive filtering, KLMS, sequential Bayesian learning, state-space model
AbstractThe 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.
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