A Family of Robust Generalized Adaptive Filters and Application for Time-Series Prediction

The continuous development of new adaptive filters (AFs) based on novel cost functions (CFs) is driven by the demands of various application scenarios and noise environments. However, these algorithms typically demonstrate optimal performance only in specific conditions. In the event of the noise change, the performance of these AFs often declines, rendering simple parameter adjustments ineffective. Instead, a modification of the CF is necessary. To address this issue, the robust generalized adaptive AF (RGA-AF) with strong adaptability and flexibility is proposed in this paper. The flexibility of the RGA-AF’s CF allows for smooth adaptation to varying noise environments through parameter adjustments, ensuring optimal filtering performance in diverse scenarios. Moreover, we introduce several fundamental properties of negative RGA (NRGA) entropy, present the negative asymmetric RGA AF (NARGA-AF) and kernel recursive NRGA AF (KRNRGA-AF). These AFs address asymmetric noise distribution and nonlinear filtering issues, respectively. Simulations of linear system identification and time-series prediction for Chua’s circuit under different noise environments demonstrate the superiority of the proposed algorithms in comparison to existing techniques.