A stochastic behavior analysis of stochastic restricted-gradient descent algorithm in reproducing kernel Hilbert spaces

10/14/2014

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by   Masa-aki Takizawa, et al.

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This paper presents a stochastic behavior analysis of a kernel-based stochastic restricted-gradient descent method. The restricted gradient gives a steepest ascent direction within the so-called dictionary subspace. The analysis provides the transient and steady state performance in the mean squared error criterion. It also includes stability conditions in the mean and mean-square sense. The present study is based on the analysis of the kernel normalized least mean square (KNLMS) algorithm initially proposed by Chen et al. Simulation results validate the analysis.