Bayesian Extensions of Kernel Least Mean Squares. Park, I. M., Seth, S., & Van Vaerenbergh, S. *ArXiv e-prints*, October, 2013. Paper abstract bibtex The kernel least mean squares (KLMS) algorithm is a computationally efficient nonlinear adaptive filtering method that "kernelizes" the celebrated (linear) least mean squares algorithm. We demonstrate that the least mean squares algorithm is closely related to the Kalman filtering, and thus, the KLMS can be interpreted as an approximate Bayesian filtering method. This allows us to systematically develop extensions of the KLMS by modifying the underlying state-space and observation models. The resulting extensions introduce many desirable properties such as "forgetting", and the ability to learn from discrete data, while retaining the computational simplicity and time complexity of the original algorithm.

@ARTICLE{Park2013g,
author = {Park, Il Memming and Seth, Sohan and Van Vaerenbergh, Steven},
title = {{Bayes}ian Extensions of Kernel Least Mean Squares},
journal = {ArXiv e-prints},
year = {2013},
month = oct,
abstract = {The kernel least mean squares ({KLMS}) algorithm is a computationally
efficient nonlinear adaptive filtering method that "kernelizes" the
celebrated (linear) least mean squares algorithm. We demonstrate
that the least mean squares algorithm is closely related to the Kalman
filtering, and thus, the {KLMS} can be interpreted as an approximate
Bayesian filtering method. This allows us to systematically develop
extensions of the {KLMS} by modifying the underlying state-space
and observation models. The resulting extensions introduce many desirable
properties such as "forgetting", and the ability to learn from discrete
data, while retaining the computational simplicity and time complexity
of the original algorithm.},
archiveprefix = {arXiv},
citeulike-article-id = {12732257},
citeulike-linkout-0 = {http://arxiv.org/abs/1310.5347},
citeulike-linkout-1 = {http://arxiv.org/pdf/1310.5347},
day = {20},
eprint = {1310.5347},
keywords = {adaptive-filter, bayesian, kernel-method, klms, online-algorithm,
poisson-observation},
posted-at = {2013-10-23 12:18:03},
primaryclass = {st.ML},
priority = {0},
url = {http://arxiv.org/abs/1310.5347}
}

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