A Unified View of Adaptive Variable-Metric Projection Algorithms. (15th December 2009)

• Record Type: Journal Article
• Authors: Yukawa, Masahiro; Yamada, Isao
• Other Names: Nascimento Vitor Academic Editor.
• Is Part Of: EURASIP journal on advances in signal processing. Volume 2009(2009)
• Publication Date: 2009-12-15
• Subjects: Signal processing -- Periodicals; Traitement du signal; Signal processing; Periodicals; 621.3822
• DOI: 10.1155/2009/589260
• Languages: English
• ISSNs: 1687-6172

Abstract

Abstract : We present a unified analytic tool named variable-metric adaptive projected subgradient method (V-APSM) that encompasses the important family of adaptive variable-metric projection algorithms. The family includes the transform-domain adaptive filter, the Newton-method-based adaptive filters such as quasi-Newton, the proportionate adaptive filter, and the Krylov-proportionate adaptive filter. We provide a rigorous analysis of V-APSM regarding several invaluable properties including monotone approximation, which indicates stable tracking capability, and convergence to an asymptotically optimal point. Small metric-fluctuations are the key assumption for the analysis. Numerical examples show (i) the robustness of V-APSM against violation of the assumption and (ii) the remarkable advantages over its constant-metric counterpart for colored and nonstationary inputs under noisy situations.