Online model selection and learning by multikernel adaptive filtering

Masahiro Yukawa, Ryu Ichiro Ishii

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    9 Citations (Scopus)

    Abstract

    We propose an efficient multikernel adaptive filtering algorithm with double regularizers, providing a novel pathway towards online model selection and learning. The task is the challenging nonlinear adaptive filtering under no knowledge about a suitable kernel. Under this limited-knowledge assumption on an underlying model of a system of interest, many possible kernels are employed and one of the regularizers, a block ℓ1 norm for kernel groups, contributes to selecting a proper model (relevant kernels) in online and adaptive fashion, preventing a nonlinear filter from overfitting to noisy data. The other regularizer is the block ℓ1 norm for data groups, contributing to updating the dictionary adaptively. As the resulting cost function contains two nonsmooth (but proximable) terms, we approximate the latter regularizer by its Moreau envelope and apply the adaptive proximal forwardbackward splitting method to the approximated cost function. Numerical examples show the efficacy of the proposed algorithm.

    Original languageEnglish
    Title of host publication2013 Proceedings of the 21st European Signal Processing Conference, EUSIPCO 2013
    PublisherEuropean Signal Processing Conference, EUSIPCO
    ISBN (Print)9780992862602
    Publication statusPublished - 2013 Jan 1
    Event2013 21st European Signal Processing Conference, EUSIPCO 2013 - Marrakech, Morocco
    Duration: 2013 Sep 92013 Sep 13

    Publication series

    NameEuropean Signal Processing Conference
    ISSN (Print)2219-5491

    Other

    Other2013 21st European Signal Processing Conference, EUSIPCO 2013
    CountryMorocco
    CityMarrakech
    Period13/9/913/9/13

    Keywords

    • kernel adaptive filter
    • multiple kernels
    • proximity operator

    ASJC Scopus subject areas

    • Signal Processing
    • Electrical and Electronic Engineering

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  • Cite this

    Yukawa, M., & Ishii, R. I. (2013). Online model selection and learning by multikernel adaptive filtering. In 2013 Proceedings of the 21st European Signal Processing Conference, EUSIPCO 2013 [6811527] (European Signal Processing Conference). European Signal Processing Conference, EUSIPCO.