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arXiv · 2211.03903

Minimax Concave Penalty Regularized Adaptive System Identification

Bowen Li·Suya Wu·Erin E. Tripp·Ali Pezeshki·Vahid Tarokh
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Abstract

We develop a recursive least square (RLS) type algorithm with a minimax concave penalty (MCP) for adaptive identification of a sparse tap-weight vector that represents a communication channel. The proposed algorithm recursively yields its estimate of the tap-vector, from noisy streaming observations of a received signal, using expectation-maximization (EM) update. We prove the convergence of our algorithm to a local optimum and provide bounds for the steady state error. Using simulation studies of Rayleigh fading channel, Volterra system and multivariate time series model, we demonstrate that our algorithm outperforms, in the mean-squared error (MSE) sense, the standard RLS and the $\ell_1$-regularized RLS.

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Bowen Li, Suya Wu, Erin E. Tripp, Ali Pezeshki, Vahid Tarokh. 2022-11-07. Minimax Concave Penalty Regularized Adaptive System Identification. https://arxiv.org/abs/2211.03903

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