IEEE Transactions on Automatic Control, Vol.48, No.9, 1545-1556, 2003
Asymptotic properties of sign algorithms for adaptive filtering
This paper develops asymptotic properties of a class of sign-error algorithms with expanding truncation bounds for adaptive filtering. Under merely stationary ergodicity and finite second moments of the reference and output signals, and using trajectory-subsequence (TS) method, it is proved that the algorithm convergers almost surely. Then, a mean squares estimate is derived for the estimation error and a suitably scaled sequence of the estimation error is shown to converge to a diffusion process. The scaling factor together with the stationary covariance gives the rate of convergence result. Moreover, an algorithm under mean squares criterion with expanding truncation bounds is also examined. Compared with the existing results in the literature, sufficient conditions for almost sure convergence are much relaxed. A simple example is provided for demonstration purpose.
Keywords:almost sure convergence;diffusion limit;ergodicity;expanding truncation;rate of convergence;sign algorithm