LMS algorithm

Variants of the LMS algorithm

Linear smoothing of LMS gradient estimates

SGN 21006 Advanced Signal Processing:

Lecture 5
Stochastic gradient based adaptation: Least
Mean Square (LMS) Algorithm

Ioan Tabus

Department of Signal Processing

Tampere University of Technology
Finland

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 LMS algorithm
Variants of the LMS algorithm
Linear smoothing of LMS gradient estimates

LMS algorithm derivation based on the Steepest descent

(SD) algorithm
Steepest descent search algorithm (from last lecture)



 I the autocorrelation matrix R = E u(n)u T (n)
Given


 I the cross-correlation vector p(n) = E u(n)d(n)

Initialize the algorithm with an arbitrary parameter vector w (0).

Iterate for n = 0, 1, 2, 3, . . . , nmax

w (n + 1) = w (n) + µ[p − Rw (n)] (Equation SD − p, R)

We have shown that adaptation equation (SD − p, R) can be written in an equivalent form as (see also the Figure
with the implementation of SD algorithm)

w (n + 1) = w (n) + µ[Ee(n)u(n)] (Equation SD − u, e)

In order to simplify the algorithm, instead the true gradient of the criterion

∇w (n) J(n) = −2E u(n)e(n)

LMS algorithm will use an immediately available approximation

∇
ˆ
w (n) J(n) = −2u(n)e(n)

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 LMS algorithm
Variants of the LMS algorithm
Linear smoothing of LMS gradient estimates

LMS algorithm
Using the noisy gradient, the adaptation will carry on the equation
1
w (n + 1) = w (n) − µ∇
ˆ
w (n) J(n) = w (n) + µu(n)e(n)
2
In order to gain new information at each time instant about the gradient estimate, the procedure will go through
all data set {(d(1), u(1)), (d(2), u(2)), . . .}, many times if needed.

LMS algorithm





 I the (correlated) input signal samples

 {u(1), u(2), u(3), . . .}, generated randomly;
Given


 I the desired signal samples {d(1), d(2), d(3), . . .}



 correlated with {u(1), u(2), u(3), . . .}

1 Initialize the algorithm with an arbitrary parameter vector w (0), for example w (0) = 0.
2 Iterate for n = 0, 1, 2, 3, . . . , nmax
2.0 Read /generate a new data pair, (u(n), d(n))
∑M−1
2.1 (Filter output) y (n) = w (n)T u(n) = i=0
wi (n)u(n − i)
2.2 (Output error) e(n) = d(n) − y (n)
2.3 (Parameter adaptation) w (n + 1) = w (n) + µu(n)e(n)
     
w0 (n + 1) w0 (n) u(n)
 w1 (n + 1)   w1 (n)   u(n − 1) 
     
 .   .   . 
 =  + µe(n)  
 .   .   . 
 .   .   . 
wM−1 (n + 1) wM−1 (n) u(n − M + 1)

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 LMS algorithm
Variants of the LMS algorithm
Linear smoothing of LMS gradient estimates

Schematic view of LMS algorithm

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 LMS algorithm
Variants of the LMS algorithm
Linear smoothing of LMS gradient estimates

Stability analysis of LMS algorithm

SD algorithm is guaranteed to converge to Wiener optimal filter if the value of µ is selected properly (see last
Lecture)
w (n) → w o

J(w (n)) → J(w o )

The iterations are deterministic : starting from a given w (0), all the iterations w (n) are perfectly determined.
LMS iterations are not deterministic: the values w (n) depend on the realization of the data d(1), . . . , d(n) and
u(1), . . . , u(n). Thus, w (n) is now a random variable.
The convergence of LMS can be analyzed from following perspectives:
I Convergence of parameters w (n) in the mean:

E w (n) → w o

I Convergence of the criterion J(w (n)) (in the mean square of the error)

J(w (n)) → J(w ∞ )

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 LMS algorithm
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Linear smoothing of LMS gradient estimates

Convergence of average parameter vector E w (n)

We will subtract from the adaptation equation
T
w (n + 1) = w (n) + µu(n)e(n) = w (n) + µu(n)(d(n) − w (n) u(n))

the vector w o and we will denote ε(n) = w (n) − w o

T
w (n + 1) − w o = w (n) − w o + µu(n)(d(n) − w (n) u(n))
T T T
ε(n + 1) = ε(n) + µu(n)(d(n) − w o u(n)) + µu(n)(u(n) w o − u(n) w (n))
T T
= ε(n) + µu(n)eo (n) − µu(n)u(n) ε(n) = (I − µu(n)u(n) )ε(n) + µu(n)eo (n)

Taking the expectation of ε(n + 1) using the last equality we obtain

T
E ε(n + 1) = E (I − µu(n)u(n) )ε(n) + E µu(n)eo (n)

and now assuming the statistical independence of u(n) and ε(n), we have

T
E ε(n + 1) = (I − µE [u(n)u(n) ])E [ε(n)] + µE [u(n)eo (n)]

Using the principle of orthogonality which states that E [u(n)eo (n)] = 0, the last equation becomes

T
E [ε(n + 1)] = (I − µE [u(n)u(n) ])E [ε(n)] = (I − µR)E [ε(n)]

Reminding the equation

c(n + 1) = (I − µR)c(n)

which was used in the analysis of SD algorithm stability, and identifying now c(n) with E ε(n), we have the stability
condition on next page.
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 LMS algorithm
Variants of the LMS algorithm
Linear smoothing of LMS gradient estimates

Convergence of average parameter vector E w (n)

The mean E ε(n) converges to zero, and consequently E w (n) converges to w o

iff
2
0<µ< (STABILITYCONDITION!) where λmax is the largest
λmax
eigenvalue of the matrix R = E [u(n)u(n)T ].

Stated in words, LMS is convergent in mean, if the stability condition is met.

The convergence property explains the behavior of the first order characterization of ε(n) = w (n) − w o .

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Variants of the LMS algorithm
Linear smoothing of LMS gradient estimates

Convergence of the criterion J(w (n))

Define the criterion J∞ as the value of criterion J(w (n)) = J(n) when n → ∞.
Denote the optimal mean square error (of the Wiener filter) Jo .
It can be shown that in the case of LMS adaptation one can obtain an approximate expression

∑
M
µJo
J∞ = Jo + λi
i=1
2 − µλi

For µλi ≪ 2

∑
M ∑
M
J∞ = Jo + µJo λi /2 = Jo (1 + µ λi /2) = Jo (1 + µtr (R)/2)
i=1 i=1

µM
J∞ = Jo (1 + µMr (0)/2) = Jo (1 + · Power of the input)
2

The steady state mean square error J∞ is close to Jo if µ is small enough.

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 LMS algorithm
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Learning curves

The statistical performance of adaptive filters is studied using learning curves, averaged over many realizations, or
ensemble-averaged.
I The mean square error MSE learning curve Take an ensemble average of the squared estimation error
e(n)2

2
J(n) = Ee (n) (1)

I The mean-square deviation (MSD) learning curve Take an ensemble average of the squared error
deviation ||ε(n)||2 where ε = w (n) − w o is the deviation of the parameters of the adaptive filter, from
the optimal parameters

2
D(n) = E ||ε(n)|| (2)

I The excess mean-square-error

Jex (n) = J(n) − Jmin (3)

where Jmin is the MSE error of the optimal Wiener filter.

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Results of the small step size theory

The statistical performance of adaptive filters is studied using learning curves, averaged over many realizations, or
ensemble-averaged.
I Connection between MSE and MSD

λmin D(n) ≤ Jex (n) ≤ λmax D(n) (4)

Jex (n)/λmin ≤ D(n) ≤ Jex (n)/λmax (5)

It is therefore enough to study the transient behavior of Jex (n), since D(n) follows its evolutions.
I The condition for stability

2
0<µ< (6)
λmax

I The excess mean-square-error converges to

µJmin ∑
M
Jex (∞) = λk (7)
2 k=1

I The misadjustment

Jex (∞) µ ∑
M
µ µ
M= = λk = tr (R) = Mr (0) (8)
Jmin 2 k=1 2 2

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 LMS algorithm
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Linear smoothing of LMS gradient estimates

Application of LMS algorithm : Adaptive Equalization

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 LMS algorithm
Variants of the LMS algorithm
Linear smoothing of LMS gradient estimates

Modelling the communication channel

We assume the impulse response of the channel in the form

{ [ ]
1 1 + cos( 2π (n − 2)) , n = 1, 2, 3
h(n) = 2 W
0, otherwise

The filter input signal will be

∑
3
u(n) = (h ∗ a)(n) = h(k)a(n − k) + v (n)
k=1

where σv2 = 0.001

Selecting the filter structure
The filter has M = 11 delays units (taps).
The weights (parameter) of the filter are symmetric with respect to the middle tap (n = 5).
The channel input is delayed 7 units to provide the desired response to the equalizer.
Correlation matrix
∑3 of the Equalizer input
Since u(n) = k=1 h(k)a(n − k) + v (n) is a MA process, the correlation function will be

2 2 2 2
r (0) = h(1) + h(2) + h(3) + σv
r (1) = h(1)h(2) + h(2)h(3)
r (2) = h(1)h(3)
r (3) = r (4) = . . . = 0

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Sample signals in adaptive equalizer experiment

Channel input response h(n) Convolved (distorted) signal h*a
1 1.5

0.8 1

0.5
0.6
0
0.4
−0.5
0.2 −1

0 −1.5
0 2 4 6 8 10 0 20 40 60

Original signal to be transmitted a(n) Received signal u(n)(noise + distorted)

1 1.5

1
0.5
0.5

0 0

−0.5
−0.5
−1

−1 −1.5
0 20 40 60 0 20 40 60

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 LMS algorithm
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Linear smoothing of LMS gradient estimates

Effect of the parameter W on the eigenvalue spread

We define the eigenvalue spread χ(R) of a matrix as the ratio of the maximum eigenvalue over the minimum
eigenvalue

W 2.9 3.1 3.3 3.5

r (0) 1.0973 1.1576 1.2274 1.3032
r (1) 0.4388 0.5596 0.6729 0.7775
r (2) 0.0481 0.0783 0.1132 0.1511
λmin 0.3339 0.2136 0.1256 0.0656
λmax 2.0295 2.3761 2.7263 3.0707
χ(R) = λmax /λmin 6.0782 11.1238 21.7132 46.8216

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Linear smoothing of LMS gradient estimates

Experiment 1: Effect of eigenvalue spread

I The step size was kept constant at µ = 0.075

I The eigenvalue spread were taken [6.0782 11.1238 21.7132 46.8216] (see previous table), thus varying
in a wide range
I for small eigenvalue spread, χ(R) = 6.07, the convergence is the fastest, and the best steady state average
squared error. The convergence time is about 80 iterations. The steady state average squared error is
about 0.003.
I for small eigenvalue spread, χ(R) = 46.8, the convergence is the slowest, and the worst steady state
average squared error. The convergence time is about 200 iterations. The steady state average squared
error is about 0.04.

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Linear smoothing of LMS gradient estimates

Learning curves for µ = 0.075, W = [2.9 3.1 3.3 3.5]

Learning curve Ee2(n) for LMS algorithm
3
10
W=2.9
W=3.1
W=3.3
W=3.5
2
10

1
10

0
10

−1
10

−2
10

−3
10
0 50 100 150 200 250 300 350 400 450 500
time step n

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 LMS algorithm
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Linear smoothing of LMS gradient estimates

Experiment 2: Effect of step size

I The eigenvalue spread was kept constant at χ = 11.12

I The step size were taken [0.0075 0.025 0.075], thus varying in a range 1:10
I for smallest step sizes, µ = 0.0075, the convergence is the slowest, and the best steady state average
squared error. The convergence time is about 2300 iterations. The steady state average squared error is
about 0.001.
I for large step size, µ = 0.075, the convergence is the fastest, and the worst steady state average squared
error. The convergence time is about 100 iterations. The steady state average squared error is about 0.005.

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 LMS algorithm
Variants of the LMS algorithm
Linear smoothing of LMS gradient estimates

Learning curves for µ = [0.0075 0.025 0.075]; W = 3.1

Learning curve Ee2(n) for LMS algorithm
1
10
µ=0.0075
µ=0.025
µ=0.075

0
10

−1
10

−2
10

−3
10
0 500 1000 1500 2000 2500 3000
time step n

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 LMS algorithm
Variants of the LMS algorithm
Linear smoothing of LMS gradient estimates

Summary

I LMS is simple to implement.

I LMS does not require preliminary modelling.
I Main disadvantage: slow rate of convergence.
I Convergence speed is affected by two factors: the step size and the eigenvalue spread of the correlation
matrix.
I The condition for stability is

2
0<µ<
λmax

I For LMS filters with filter length M moderate to large, the convergence condition on the step size is

2
0<µ<
MSmax

where Smax is the maximum value of the power spectral density of the tap inputs.

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 LMS algorithm
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Linear smoothing of LMS gradient estimates

Normalized LMS Algorithm

Modify at time n the parameter vector from w (n) to w (n + 1)
I fulfilling the constraint
T
w (n + 1)u(n) = d(n)
I with the “least modification” of w (n), i.e. with the least Euclidian norm of the difference

w (n + 1) − w (n) = δw (n + 1)
Thus we have to minimize
2
∑
M−1
2
∥δw (n + 1)∥ = (wk (n + 1) − wk (n))
k=0
under the constraint
T
w (n + 1)u(n) = d(n)
The solution can be obtained by Lagrange multipliers method:
( )
2 T
J(w (n + 1), λ) = ∥δw (n + 1)∥ + λ d(n) − w (n + 1)u(n)
 
∑
M−1 ∑
M−1
(wk (n + 1) − wk (n)) + λ d(n) − wi (n + 1)u(n − i)
2
=
k=0 i=0

∂J(w (n+1),λ)
To obtain the minimum of J(w (n + 1), λ) we equate to zero the partial derivatives ∂wj (n+1)
= 0:
  
∂ ∑
M−1 ∑
M−1
 (wk (n + 1) − wk (n)) + λ d(n) −
2
wi (n + 1)u(n − i) = 0
∂wj (n + 1) k=0 i=0

2(wj (n + 1) − wj (n)) − λu(n − j) = 0

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 LMS algorithm
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Normalized LMS Algorithm

From

2(wj (n + 1) − wj (n)) − λu(n − j) = 0

we have

1
wj (n + 1) = wj (n) + λu(n − j)
2

where λ will result from

∑
M−1
d(n) = wi (n + 1)u(n − i)
i=0

∑
M−1
1
d(n) = (wi (n) + λu(n − i))u(n − i)
i=0
2

∑
M−1
1 ∑
M−1
2
d(n) = wi (n)u(n − i) + λ (u(n − i))
i=0
2 i=0
∑
2(d(n) − M−1
i=0
wi (n)u(n − i))
λ = ∑M−1
i=0
(u(n − i))2
2e(n)
λ = ∑M−1
i=0
(u(n − i))2

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 LMS algorithm
Variants of the LMS algorithm
Linear smoothing of LMS gradient estimates

Normalized LMS Algorithm

Thus, the minimum of the criterion J(w (n + 1), λ) will be obtained using the adaptation equation

e(n)
wj (n + 1) = wj (n) + ∑M−1 u(n − j)
i=0
(u(n − i))2

In order to add an extra freedom degree to the adaptation strategy, one constant, µ̃, controlling the step size will
be introduced:

1 µ̃
wj (n + 1) = wj (n) + µ̃ ∑M−1 e(n)u(n − j) = wj (n) + e(n)u(n − j)
(u(n − i))2 ∥u(n)∥2
i=0

To overcome the possible numerical difficulties when ∥u(n)∥ is very close to zero, a constant a > 0 is used:

µ̃
wj (n + 1) = wj (n) + e(n)u(n − j)
a + ∥u(n)∥2

This is the updating equation used in the Normalized LMS algorithm.

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 LMS algorithm
Variants of the LMS algorithm
Linear smoothing of LMS gradient estimates

Normalized LMS Algorithm

The principal characteristics of the Normalized LMS algorithm are the following:
I The adaptation constant µ̃ is dimensionless, whereas in LMS, the adaptation has the dimensioning of a
inverse power.
I Setting
µ̃
µ(n) =
a + ∥u(n)∥2

we may view Normalized LMS algorithm as a LMS algorithm with data- dependent adaptation step size.
I Considering the approximate expression

µ̃
µ(n) =
a + ME (u(n))2

the normalization is such that :

* the effect of large fluctuations in the power levels of the input signal is compensated at the adaptation
level.
* the effect of large input vector length is compensated, by reducing the step size of the algorithm.
I This algorithm was derived based on an intuitive principle:

In the light of new input data, the parameters of an adaptive system

should only be disturbed in a minimal fashion.

I The Normalized LMS algorithm is convergent in mean square sense if

0 < µ̃ < 2

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 LMS algorithm
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Linear smoothing of LMS gradient estimates

Comparison of LMS and NLMS in the channel equalization

example

2 2
Learning curve Ee (n) for LMS algorithm Learning curve Ee (n) for Normalized LMS algorithm
0 1
10 10
µ=0.075 µ=1.5
µ=0.025 µ=1.0
µ=0.0075 µ=0.5
µ=0.1

0
10

−1
10

−1
10

−2
10

−2
10

−3 −3
10 10
0 500 1000 1500 2000 2500 0 500 1000 1500 2000 2500
time step n time step n

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 LMS algorithm
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Linear smoothing of LMS gradient estimates

Comparison of LMS and NLMS in the channel equalization

example

I The LMS was run with three different step-sizes: µ = [0.075; 0.025; 0.0075]
I The NLMS was run with four different step-sizes: µ̃ = [1.5; 1.0; 0.5; 0.1]
I With the step-size µ̃ = 1.5, NLMS behaved definitely worse than with step-size µ̃ = 1.0 (slower,
and with a higher steady state square error). So µ̃ = 1.5 is further ruled out
I Each of the three step-sizes µ̃ = [1.0; 0.5; 0.1] was interesting: on one hand, the larger the
step-size, the faster the convergence. But on the other hand, the smaller the step-size, the better
the steady state square error. So each step-size may be a useful tradeoff between convergence
speed and stationary MSE (not both can be very good simultaneously).
I LMS with µ = 0.0075 and NLMS with µ̃ = 0.1 achieved a similar (very good) average steady state square
error. However, NLMS was faster.
I LMS with µ = 0.075 and NLMS with µ̃ = 1.0 had a similar convergence speed (very good). However,
NLMS achieved a lower steady state average square error.
I To conclude: NLMS offers better trade-offs than LMS.
I The computational complexity of NLMS is slightly higher than that of LMS.

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Linear smoothing of LMS gradient estimates

LMS Algorithm with Time Variable Adaptation Step

Heuristics of the method: We combine the benefits of two different situations:
I The convergence time constant is small for large µ.
I The mean-square error in steady state is low for small µ.
Therefore, in the initial adaptation stages µ is kept large, then it is monotonically reduced, such that in the final
adaptation stage it is very small. There are many receipts of cooling down an adaptation process.
I Monotonically decreasing the step size
1
µ(n) =
n+c
Disadvantage for non-stationary data: the algorithm will not react anymore to changes in the optimum
solution, for large values of n.
I Variable Step algorithm:
w (n + 1) = w (n) + M(n)u(n)e(n)
where  
µ0 (n) 0 . 0
 0 µ1 (n) . 0 
M(n) = 



0 0 . 0
0 0 . µM−1 (n)
or componentwise

wi (n + 1) = wi (n) + µi (n)u(n − i)e(n) i = 0, 1, . . . , M − 1

* each filter parameter wi (n) is updated using an independent adaptation step µi (n).
* the time variation of µi (n) is ad-hoc selected as
I if m1 successive identical signs of the gradient estimate, −e(n)u(n − i) ,are observed, then µi (n)
is increased µi (n) = c1 µi (n − m1 ) (c1 > 1)(the algorithm is still far of the optimum, is better to
accelerate)
I if m2 successive changes in the sign of gradient estimate, −e(n)u(n − i), are observed, then µi (n)
is decreased µi (n) = µi (n − m2 )/c2 (c2 > 1) (the algorithm is near the optimum, is better to
decelerate; by decreasing the step-size, so that the steady state error will finally decrease). 26 / 30
 LMS algorithm
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Comparison of LMS and variable size LMS

µ
Comparison of LMS and variable size LMS (µ̃ = 0.01n+c ) within the channel equalization example (channel
equalization) with c = [10; 20; 50]

2 2
Learning curve Ee (n) for LMS algorithm Learning curve Ee (n) for variable size LMS algorithm
0 1
10 10
µ=0.075 c=10
µ=0.025 c=20
µ=0.0075 c=50
LMS µ=0.0075

0
10

−1
10

−1
10

−2
10

−2
10

−3 −3
10 10
0 500 1000 1500 2000 2500 0 500 1000 1500 2000 2500
time step n time step n

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Lowpass filtering the noisy gradient

I Lowpass filtering the noisy gradient
Let us rename the noisy gradient g (n) = ∇
ˆ wJ

g (n) = ∇
ˆ w J = −2u(n)e(n)

gi (n) = −2e(n)u(n − i)

Passing the signals gi (n) through low pass filters will prevent the large fluctuations of direction during
adaptation process.

bi (n) = LPF (gi (n))

where LPF denotes a low pass filtering operation. The updating process will use the filtered noisy gradient

w (n + 1) = w (n) − µb(n)

The following versions are well known:

I Averaged LMS algorithm
When LPF is the filter with impulse response
1 , . . . , h(N − 1) = 1 , h(N) = h(N + 1) = . . . = 0 we obtain simply the average of gradient
h(0) = N N
components:
µ ∑n
w (n + 1) = w (n) + e(j)u(j)
N j=n−N+1

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Momentum LMS algorithm

I Momentum LMS algorithm
When LPF is an IIR filter of first order h(0) = 1 − γ, h(1) = γh(0), h(2) = γ 2 h(0), . . . then,

bi (n) = LPF (gi (n)) = γbi (n − 1) + (1 − γ)gi (n)

b(n) = γb(n − 1) + (1 − γ)g (n)

The resulting algorithm can be written as a second order recursion:

w (n + 1) = w (n) − µb(n)
γw (n) = γw (n − 1) − γµb(n − 1)
w (n + 1) − γw (n) = w (n) − γw (n − 1) − µb(n) + γµb(n − 1)
w (n + 1) = w (n) + γ(w (n) − w (n − 1)) − µ(b(n) − γb(n − 1))
w (n + 1) = w (n) + γ(w (n) − w (n − 1)) − µ(1 − γ)g (n)
w (n + 1) = w (n) + γ(w (n) − w (n − 1)) + 2µ(1 − γ)e(n)u(n)

w (n + 1) − w (n) = γ(w (n) − w (n − 1)) + µ̃(1 − γ)e(n)u(n)

Drawback: The convergence rate may decrease.

Advantages: The momentum term keeps the algorithm active even in the regions close to minimum.
For nonlinear criterion surfaces this helps in avoiding local minima (as in neural network learning by
backpropagation)

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 LMS algorithm
Variants of the LMS algorithm
Linear smoothing of LMS gradient estimates

Nonlinear smoothing of LMS gradient estimates

I If there is an impulsive interference in either d(n) or u(n), the performances of LMS algorithm will
drastically degrade (sometimes even leading to instability).
Smoothing the noisy gradient components using a nonlinear filter provides a potential solution.
I The Median LMS Algorithm
Computing the median of window size N + 1, for each component of the gradient vector, will smooth out
the effect of impulsive noise. The adaptation equation can be implemented as

wi (n + 1) = wi (n) − µ · med ((e(n)u(n − i)), (e(n − 1)u(n − 1 − i)), . . . , (e(n − N)u(n − N − i)))

* Experimental evidence shows that the smoothing effect in impulsive noise environment is very strong.
* If the environment is not impulsive, the performances of Median LMS are comparable with those of LMS,
thus the extra computational cost of Median LMS is not worth.
* However, the convergence rate may be slower than in LMS, and there are reports of instability occurring
whith Median LMS.

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