Convex Combination of Adaptive Filters with Different Tracking Capabilities

Recently, an adaptive convex combination of two LMS (least mean-square) filters was proposed and its tracking performance analyzed. Motivated by the performance of such scheme and by the differences between the tracking capabilities of the RLS (recursive least-squares) and LMS algorithms, we propose a convex combination of one LMS and one RLS filter. The resulting combination should profit of the best tracking behavior of each component filter. A steady-state analysis via energy conservation relation is also presented for stationary and non-stationary environments.