Document Type
Article
Publication Date
2011
Abstract
This work is concerned with robustness, convergence, and stability of adaptive filtering (AF) type algorithms in the presence of model mismatch. The algorithms under consideration are recursive and have inherent multiscale structure. They can be considered as dynamic systems, in which the `state' changes much more slowly than the perturbing noise. Beyond the existing results on adaptive algorithms, model mismatch significantly affects convergence properties of AF algorithms, raising issues of algorithm robustness. Weak convergence and weak stability (i.e., recurrence) under model mismatch are derived. Based on the limiting stochastic differential equations of suitably scaled iterates, stability in distribution is established. Then algorithms with decreasing step sizes and their convergence properties are examined. When input signals are large, identification bias due to model mismatch will become large and unacceptable. Methods for reducing such bias are introduced when the identified models are used in regulation problems.
Original Publication Citation
Fitzpatrick, B. G., Yin, G., & Wang, L. Y. (2011). Robustness, weak stability, and stability in distribution of adaptive filtering algorithms under model mismatch. Multiscale Modeling & Simulation. A SIAM Interdisciplinary Journal, 9(1), 183-207.
Publisher Statement
@ 2011 Society for Industrial and Applied Mathematics
Digital Commons @ LMU & LLS Citation
Fitzpatrick, Ben G.; Yin, G.; and Wang, Le Yi, "Robustness, Weak Stability, and Stability in Distribution of Adaptive Filteringalgorithms Under Model Mismatch" (2011). Mathematics, Statistics and Data Science Faculty Works. 99.
https://digitalcommons.lmu.edu/math_fac/99
