Title :
Mean-square performance of a convex combination of two adaptive filters
Author :
Arenas-García, Jerónimo ; Figueiras-Vidal, Aníbal R. ; Sayed, Ali H.
Author_Institution :
Dept. of Signal Theor. & Commun., Univ. Carlos de Madrid, Leganes, Spain
fDate :
3/1/2006 12:00:00 AM
Abstract :
Combination approaches provide an interesting way to improve adaptive filter performance. In this paper, we study the mean-square performance of a convex combination of two transversal filters. The individual filters are independently adapted using their own error signals, while the combination is adapted by means of a stochastic gradient algorithm in order to minimize the error of the overall structure. General expressions are derived that show that the method is universal with respect to the component filters, i.e., in steady-state, it performs at least as well as the best component filter. Furthermore, when the correlation between the a priori errors of the components is low enough, their combination is able to outperform both of them. Using energy conservation relations, we specialize the results to a combination of least mean-square filters operating both in stationary and in nonstationary scenarios. We also show how the universality of the scheme can be exploited to design filters with improved tracking performance.
Keywords :
adaptive filters; filtering theory; gradient methods; least mean squares methods; stochastic processes; transversal filters; a priori errors; adaptive filters; convex combination; energy conservation relations; least mean-square filters; mean square performance; stochastic gradient algorithm; transversal filters; Adaptive filters; Cost function; Energy conservation; Filtering; Genetic expression; Performance analysis; Signal processing algorithms; Steady-state; Stochastic processes; Transversal filters; Adaptive filtering; convex combination; energy conservation; stochastic algorithms;
Journal_Title :
Signal Processing, IEEE Transactions on
DOI :
10.1109/TSP.2005.863126