EE6110 Adaptive Signal Processing (Jul-Nov 2018)

Instructor

Srikrishna Bhashyam
Office: ESB 212D
Phone: 2257 4439

Pre-requisites
Probability Foundations for Electrical Engineers (EE5110 or EE3110).

Course Description
This is a graduate-level course on adaptive filters.The design and performance of adaptive filters are
discussed. Two classes of algorithms -- stochastic gradient algorithms and least squares algorithms -- to
adapt the coefficients of a linear filter are discussed in detail. The topics covered are:
1) Review of Estimation Theory
--- Minimum Mean Squared Error (MMSE) estimation
--- Linear MMSE estimation
--- Sequential linear MMSE estimation
--- Kalman filter
2) Stochastic Gradient Algorithms
--- Least Mean Squares (LMS) Algorithm
--- Mean-square performance
--- Transient performance
3) Least Squares Algorithms
--- Recursive Least Squares (RLS) algorithm
--- Kalman filtering and RLS algorithm
4) Other topics from:
--- Array Algorithms
--- Lattice Filters
--- Robust Filters
--- Other performance criterion (other than MMSE and LS)

References

[1] A. H. Sayed, Adaptive Filters, John Wiley & Sons, NJ, ISBN 978-0-470-25388-5, 2008. Video
Lectures here
[2] S. Haykin, Adaptive Filter Theory, Fourth Edition, Pearson Education LPE, 2007.
[3] Alexander D. Poularikas, Zayed M. Ramadan, Adaptive filtering primer with MATLAB, CRC Press,
2006.
[4] B. Widrow and S.D. Stearns, Adaptive Signal Processing, Prentice Hall, Englewood Cliffs, NJ, 1985.