Mean square analysis of the CLMS and ACLMS for non-circular signals: The approximate uncorrelating transform approach

Current approaches to the mean-square analyses of the complex-least-mean-square (CLMS) and augmented CLMS (ACLMS) algorithms can be challenging due to the difficulty in diagonalising the augmented covariance matrix. By employing the recently introduced approximate uncorrelating transform (AUT), which diagonalizes the covariance and pseudocovariance matrices with a single singular value decomposition (SVD), we derive closed form expressions for both transient and steady-state mean square stability for the CLMS and ACLMS. Relationships between the degree of circularity of the input signal and the bound on the step-sizes of the CLMS and ACLMS are also established. We also show that for both CLMS and ACLMS, the steady-state misadjustment increases with the degree of non-circularity of the input signal. Simulations in the context of frequency estimation in power grid support the analyses.