Geometric Optimization Methods for Adaptive Filtering

Steven Thomas Smith

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arXiv · 1305.1886

Geometric Optimization Methods for Adaptive Filtering

Steven Thomas Smith

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Abstract

The techniques and analysis presented in this thesis provide new methods to solve optimization problems posed on Riemannian manifolds. These methods are applied to the subspace tracking problem found in adaptive signal processing and adaptive control. A new point of view is offered for the constrained optimization problem. Some classical optimization techniques on Euclidean space are generalized to Riemannian manifolds. Several algorithms are presented and their convergence properties are analyzed employing the Riemannian structure of the manifold. Specifically, two new algorithms, which can be thought of as Newton's method and the conjugate gradient method on Riemannian manifolds, are presented and shown to possess quadratic and superlinear convergence, respectively. These methods are applied to several eigenvalue and singular value problems, which are posed as constrained optimization problems. ...

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Steven Thomas Smith. 2013-05-08. Geometric Optimization Methods for Adaptive Filtering. https://arxiv.org/abs/1305.1886

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