A Probabilistic Least-Mean-Squares Filter

TitleA Probabilistic Least-Mean-Squares Filter
Publication TypeConference Paper
Year of Publication2015
AuthorsJ. Fernández-Bes, V. Elvira, and S. Van Vaerenbergh
Conference Name2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)
Month PublishedApril
Conference LocationBrisbane, Queensland, Australia
Keywordsadaptive filtering, least-mean-squares, probabilistic models, state-space models
AbstractWe introduce a probabilistic approach to the LMS filter. By means of an efficient approximation, this approach provides an adaptable step-size LMS algorithm together with a measure of uncertainty about the estimation. In addition, the proposed approximation preserves the linear complexity of the standard LMS. Numerical results show the improved performance of the algorithm with respect to standard LMS and state-of-the-art algorithms with similar complexity. The goal of this work, therefore, is to open the door to bring some more Bayesian machine learning techniques to adaptive filtering.