Physical Sciences and Mathematics Commons^™

Robustness, Weak Stability, And Stability In Distribution Of Adaptive Filteringalgorithms Under Model Mismatch, Ben G. Fitzpatrick, G. Yin, Le Yi Wang

Mathematics Faculty Works

This work is concerned with robustness, convergence, and stability of adaptive filtering (AF) type algorithms in the presence of model mismatch. The algorithms under consideration are recursive and have inherent multiscale structure. They can be considered as dynamic systems, in which the `state' changes much more slowly than the perturbing noise. Beyond the existing results on adaptive algorithms, model mismatch significantly affects convergence properties of AF algorithms, raising issues of algorithm robustness. Weak convergence and weak stability (i.e., recurrence) under model mismatch are derived. Based on the limiting stochastic differential equations of suitably scaled iterates, stability in distribution is established. …