Generalized Correntropy for Robust Adaptive Filtering
This is an incremental improvement for signal processing and machine learning applications requiring robust filtering.
The authors tackled the problem of robust adaptive filtering by proposing a generalized correntropy using a generalized Gaussian density kernel, which improves stability and achieves zero probability of divergence in simulations.
As a robust nonlinear similarity measure in kernel space, correntropy has received increasing attention in domains of machine learning and signal processing. In particular, the maximum correntropy criterion (MCC) has recently been successfully applied in robust regression and filtering. The default kernel function in correntropy is the Gaussian kernel, which is, of course, not always the best choice. In this work, we propose a generalized correntropy that adopts the generalized Gaussian density (GGD) function as the kernel (not necessarily a Mercer kernel), and present some important properties. We further propose the generalized maximum correntropy criterion (GMCC), and apply it to adaptive filtering. An adaptive algorithm, called the GMCC algorithm, is derived, and the mean square convergence performance is studied. We show that the proposed algorithm is very stable and can achieve zero probability of divergence (POD). Simulation results confirm the theoretical expectations and demonstrate the desirable performance of the new algorithm.