Extension of LMS stability condition over a wide set of signals

• Published in: International journal of adaptive control and signal processing Vol. 29; no. 5; pp. 653 - 670
• Main Author: Bismor, Dariusz
• Format: Journal Article
• Language: English
• Published: Bognor Regis Blackwell Publishing Ltd 01.05.2015; Wiley Subscription Services, Inc
• Subjects: adaptive filtering; Algorithms; Computer simulation; Derivation; Discrete systems; discrete-time systems; Eigenvalues; least mean squares (LMS) method; Mathematical analysis; Stability; Statistics
• ISSN: 0890-6327; 1099-1115
• DOI: 10.1002/acs.2500

SummaryA sufficient condition for least mean squares (LMS) algorithm stability with a small set of assumptions is derived in this paper. The derivation is not, contrary to the majority of currently known conditions, based on the independence assumption or other statistic properties of the input signals. Moreover, it does not make use of the small‐step‐size assumption, neither does it assume the input signals are stationary. Instead, it uses a theory of discrete systems and properties of a discrete state‐space matrix. Therefore, the result can be applied to a wide set of signals, including deterministic and nonstationary signals. The location of all eigenvalues of the matrix responsible for the LMS algorithm stability has been calculated. Simulation experiments, where the step size reaches a couple of hundreds without loss of stability, are shown to support the theory. On the other hand, simulation where the calculations based on the small‐step‐size theory provide a too large estimation of the upper bound for the step size, while the new condition gives a proper solution, is also presented. Therefore, the new condition may be used in cases where fast adaptation is necessary and when the independence theory or the small‐step‐size assumptions do not hold. Copyright © 2014 John Wiley & Sons, Ltd.