Sequential and Adaptive Learning Algorithms for M-Estimation

Open Access
Research Article
Part of the following topical collections:
  1. Emerging Machine Learning Techniques in Signal Processing


The M-estimate of a linear observation model has many important engineering applications such as identifying a linear system under non-Gaussian noise. Batch algorithms based on the EM algorithm or the iterative reweighted least squares algorithm have been widely adopted. In recent years, several sequential algorithms have been proposed. In this paper, we propose a family of sequential algorithms based on the Bayesian formulation of the problem. The basic idea is that in each step we use a Gaussian approximation for the posterior and a quadratic approximation for the log-likelihood function. The maximum a posteriori (MAP) estimation leads naturally to algorithms similar to the recursive least squares (RLSs) algorithm. We discuss the quality of the estimate, issues related to the initialization and estimation of parameters, and robustness of the proposed algorithm. We then develop LMS-type algorithms by replacing the covariance matrix with a scaled identity matrix under the constraint that the determinant of the covariance matrix is preserved. We have proposed two LMS-type algorithms which are effective and low-cost replacement of RLS-type of algorithms working under Gaussian and impulsive noise, respectively. Numerical examples show that the performance of the proposed algorithms are very competitive to that of other recently published algorithms.


Covariance Matrix Gaussian Approximation Observation Model Quadratic Approximation Adaptive Learn 
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© Guang Deng. 2008

This article is published under license to BioMed Central Ltd. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Authors and Affiliations

  1. 1.Department of Electronic Engineering, Faculty of Science, Technology and EngineeringLa Trobe UniversityBundooraAustralia

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