arXiv subjects

Haiquan Zhao

Publications and source records attributed to Haiquan Zhao.

57 records · Page 4Linked to original sources

arXiv2015

Maximum Correntropy Kalman Filter

Traditional Kalman filter (KF) is derived under the well-known minimum mean square error (MMSE) criterion, which is optimal under Gaussian assumption. However, when the signals are non-Gaussian, especially when the system is disturbed by some heavy-tailed impulsive noises, the performance of KF will deteriorate seriously. To improve the robustness of KF against impulsive noises, we propose in this work a new Kalman filter, called the maximum correntropy Kalman filter (MCKF), which adopts the robust maximum correntropy criterion (MCC) as the optimality criterion, instead of using the MMSE. Similar to the traditional KF, the state mean and covariance matrix propagation equations are used to give prior estimations of the state and covariance matrix in MCKF. A novel fixed-point algorithm is then used to update the posterior estimations. A sufficient condition that guarantees the convergence of the fixed-point algorithm is given. Illustration examples are presented to demonstrate the effectiveness and robustness of the new algorithm.

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arXiv2015

A Novel Variable Step Size NLMS Algorithm Based on the Power Estimate of the System Noise

To overcome the tradeoff of the conventional normalized least mean square (NLMS) algorithm between fast convergence rate and low steady-state misalignment, this paper proposes a variable step size (VSS) NLMS algorithm by devising a new strategy to update the step size. In this strategy, the input signal power and the cross-correlation between the input signal and the error signal are used to estimate the true tracking error power, reducing the effect of the system noise on the algorithm performance. Moreover, the steady-state performances of the algorithm are provided for Gaussian white input signal and are verified by simulations. Finally, simulation results in the context of the system identification and acoustic echo cancellation (AEC) have demonstrated that the proposed algorithm has lower steady-state misalignment than other VSS algorithms.

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arXiv2015

Generalized Correntropy for Robust Adaptive Filtering

As a robust nonlinear similarity measure in kernel space, correntropy has received increasing attention in domains of machine learning and signal processing. In particular, the maximum correntropy criterion (MCC) has recently been successfully applied in robust regression and filtering. The default kernel function in correntropy is the Gaussian kernel, which is, of course, not always the best choice. In this work, we propose a generalized correntropy that adopts the generalized Gaussian density (GGD) function as the kernel (not necessarily a Mercer kernel), and present some important properties. We further propose the generalized maximum correntropy criterion (GMCC), and apply it to adaptive filtering. An adaptive algorithm, called the GMCC algorithm, is derived, and the mean square convergence performance is studied. We show that the proposed algorithm is very stable and can achieve zero probability of divergence (POD). Simulation results confirm the theoretical expectations and demonstrate the desirable performance of the new algorithm.

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