针对输入噪声的非线性自适应滤波新方法,提升时间序列预测精度。
Nonlinear Bias-Compensated Adaptive Filter and Its Application for Time-Series Prediction

- 基于随机傅里叶特征与偏差补偿框架,固定网络结构应对输入噪声。
- 在真实时间序列数据上显著降低预测误差,优于现有方法。
- 适合存在非高斯输出噪声的复杂信号处理任务,如金融或气象预测。
现有非线性自适应滤波算法通常只考虑输出噪声,忽视了实际中普遍存在的输入噪声。尽管最近提出的偏差补偿核最小均方(BCKLMS)算法在非线性误变量(EIV)模型中处理了输入噪声,但仍存在两大缺陷:一是固定大小字典限制网络增长,难以充分捕捉输入信号特征;二是作为基于最小均方(LMS)的算法,在输出信号存在非高斯噪声时鲁棒性差。为此,本文提出随机傅里叶偏差补偿广义自适应函数(RFFBCGA)算法。在基于随机傅里叶特征的偏差补偿(RFFBC)框架下,该算法保持固定网络结构,通过偏差补偿项有效抑制输入噪声干扰,并提升对输入信号的表征能力。同时,借助广义自适应(GA)函数的灵活形式,增强了算法在多种噪声场景下的鲁棒性。大量仿真实验,包括真实世界时间序列预测任务,验证了所提方法的优越性。
原文摘要 · Abstract (English)
Most existing nonlinear adaptive filtering algorithms only account for output noise, neglecting the fact that input noise is also prevalent in practice. Although the recently proposed bias-compensated kernel least mean square (BCKLMS) algorithm addresses input noise in the nonlinear errors-in-variables (EIV) model, it still suffers from two major limitations. First, the use of a fixed-size dictionary restricts network growth but also prevents it from fully capturing the characteristics of the input signal. Second, as an least mean square (LMS) based algorithm, it exhibits poor robustness in the presence of non-Gaussian noise in the output signal. To overcome these issues, this paper proposes the random Fourier bias-compensated filter under general adaptive function (RFFBCGA) algorithm. Within the random Fourier feature based bias-compensated (RFFBC) framework, the proposed algorithm not only maintains a fixed network structure and effectively mitigates input noise interference through the BC term, but also achieves improved characterization of the input signal. Moreover, by leveraging the flexible form of the general adaptive (GA) function, the algorithm's robustness across various noise scenarios is further enhanced. Extensive simulations, including real-world time series prediction tasks, demonstrate the superiority of the proposed method.
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