The exponentiated convex variable step-size (ECVSS) algorithm

For some time there is a large interest in variable step-size methods for adaptive filtering. Recently, a few stochastic gradient algorithms have been proposed, which are based on cost functions that have exponential dependence on the chosen error. However, we have experienced that the cost function based on exponential of the squared error does not always satisfactorily converge. In this paper we modify this cost function in order to improve the convergence of exponentiated cost function and the novel ECVSS (exponentiated convex variable step-size) stochastic gradient algorithm is obtained. The proposed technique has attractive properties in both stationary and abrupt-change situations.