Kernel Adaptive Filtering Toolbox
A Matlab benchmarking toolbox for kernel adaptive filtering.
This toolbox focuses on online and adaptive algorithms that use kernel methods to perform nonlinear regression. It includes algorithms, demos and tools to compare their performance.
Official web: https://sourceforge.net/projects/kafbox
This toolbox is a collaborative effort: every developer wishing to contribute code or suggestions can do so. More info below.
Directories included in the toolbox
data/- data sets
demo/- demos and test files
lib/- algorithm libraries and utilities
Octave / Matlab pre-2008a
This toolbox uses the
classdefcommand which is not supported in Matlab pre-2008a and not yet in Octave. The older 0.x versions of this toolbox do not use
classdefand can therefore be used with all versions of Matlab and Octave. http://sourceforge.net/projects/kafbox/files/
Each kernel adaptive filtering algorithm is implemented as a Matlab class. To use one, first define its options:
options = struct('nu',1E-4,'kerneltype','gauss','kernelpar',32);
Next, create an instance of the filter:
kaf = aldkrls(options);
One iteration of training is performed by feeding one input-output data pair to the filter:
kaf = kaf.train(x,y);
The outputs for one or more test inputs are evaluated as follows:
Y_test = kaf.evaluate(X_test);
Example: time-series prediction
% Demo: 1-step ahead prediction on Lorenz attractor time-series data [X,Y] = kafbox_data(struct('file','lorenz.dat','embedding',6)); % make a kernel adaptive filter object of class aldkrls with options: % ALD threshold 1E-4, Gaussian kernel, and kernel width 32 kaf = aldkrls(struct('nu',1E-4,'kerneltype','gauss','kernelpar',32)); %% RUN ALGORITHM N = size(X,1); Y_est = zeros(N,1); for i=1:N, if ~mod(i,floor(N/10)), fprintf('.'); end % progress indicator, 10 dots Y_est(i) = kaf.evaluate(X(i,:)); % predict the next output kaf = kaf.train(X(i,:),Y(i)); % train with one input-output pair end fprintf('\n'); SE = (Y-Y_est).^2; % test error %% OUTPUT fprintf('MSE after first 1000 samples: %.2fdB\n\n',10*log10(mean(SE(1001:end))));
MSE after first 1000 samples: -40.17dB
- Approximate Linear Dependency Kernel Recursive Least-Squares (ALD-KRLS), as proposed in Y. Engel, S. Mannor, and R. Meir. "The kernel recursive least-squares algorithm", IEEE Transactions on Signal Processing, volume 52, no. 8, pages 2275-2285, 2004.
- Sliding-Window Kernel Recursive Least-Squares (SW-KRLS), as proposed in S. Van Vaerenbergh, J. Via, and I. Santamaria. "A sliding-window kernel RLS algorithm and its application to nonlinear channel identification", 2006 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP), Toulouse, France, 2006.
- Naive Online Regularized Risk Minimization Algorithm (NORMA), as proposed in J. Kivinen, A. Smola and C. Williamson. "Online Learning with Kernels", IEEE Transactions on Signal Processing, volume 52, no. 8, pages 2165-2176, 2004.
- Kernel Least-Mean-Square (KLMS), as proposed in W. Liu, P.P. Pokharel, and J.C. Principe, "The Kernel Least-Mean-Square Algorithm," IEEE Transactions on Signal Processing, vol.56, no.2, pp.543-554, Feb. 2008.
- Fixed-Budget Kernel Recursive Least-Squares (FB-KRLS), as proposed in S. Van Vaerenbergh, I. Santamaria, W. Liu and J. C. Principe, "Fixed-Budget Kernel Recursive Least-Squares", 2010 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP 2010), Dallas, Texas, U.S.A., March 2010.
- Kernel Recursive Least-Squares Tracker (KRLS-T), as proposed in S. Van Vaerenbergh, M. Lazaro-Gredilla, and I. Santamaria, "Kernel Recursive Least-Squares Tracker for Time-Varying Regression," Neural Networks and Learning Systems, IEEE Transactions on , vol.23, no.8, pp.1313-1326, Aug. 2012.
- Quantized Kernel Least Mean Squares (QKLMS), as proposed in Chen B., Zhao S., Zhu P., Principe J.C. "Quantized Kernel Least Mean Square Algorithm," IEEE Transactions on Neural Networks and Learning Systems, vol.23, no.1, Jan. 2012, pages 22-32.
- Random Fourier Fourier Feature Kernel Least Mean Squares (RFF-KLMS), as proposed in Abhishek Singh, Narendra Ahuja and Pierre Moulin, "Online Learning With Kernels: Overcoming The Growing Sum Problem", 2012 IEEE International Workshop on Machine Learning For Signal Processing.
- Extended Kernel Recursive Least Squares (EX-KRLS), as proposed in W. Liu and I. Park and Y. Wang and J.C. Principe, "Extended kernel recursive least squares algorithm", IEEE Transactions on Signal Processing, volume 57, number 10, pp. 3801-3814, oct. 2009.
- Gaussian-Process based estimation of the parameters of KRLS-T, as proposed in Steven Van Vaerenbergh, Ignacio Santamaria, and Miguel Lazaro-Gredilla, "Estimation of the forgetting factor in kernel recursive least squares," 2012 IEEE International Workshop on Machine Learning for Signal Processing (MLSP), 2012.
- Kernel Affine Projection algorithm with Coherence Criterion, as proposed in C. Richard, J.C.M. Bermudez, P. Honeine, "Online Prediction of Time Series Data With Kernels," IEEE Transactions on Signal Processing, vol.57, no.3, pp.1058,1067, March 2009.
- Kernel Normalized Least-Mean-Square algorithm with Coherence Criterion, as proposed in C. Richard, J.C.M. Bermudez, P. Honeine, "Online Prediction of Time Series Data With Kernels," IEEE Transactions on Signal Processing, vol.57, no.3, pp.1058,1067, March 2009.
- Recursive Least-Squares algorithm with exponential weighting (RLS), as described in S. Haykin, "Adaptive Filtering Theory (3rd Ed.)", Prentice Hall, Chapter 13.
- Multikernel Normalized Least Mean Square algorithm with Coherence-based Sparsification (MKNLMS-CS), as proposed in M. Yukawa, "Multikernel Adaptive Filtering", IEEE Transactions on Signal Processing, vol.60, no.9, pp.4672-4682, Sept. 2012.
- Parallel HYperslab Projection along Affine SubSpace (PHYPASS) algorithm, as described in M. Takizawa and M. Yukawa, "An Efficient Data-Reusing Kernel Adaptive Filtering Algorithm Based on Parallel Hyperslab Projection Along Affine Subspace," 2013 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP), pp.3557-3561, May 2013.
How to contribute code to the toolbox
Option 1: email it to me (firstname.lastname@example.org)
Option 2: Fork the toolbox on GitHub, push your change to a named branch, then send me a pull request.
This source code is released under the FreeBSD License.
- Changes to previous version:
Initial Announcement on mloss.org.
Other available revisons
Version Changelog Date 1.4
Improvements and demo script for profiler
Initial version of documentation
Several new algorithms
May 26, 2014, 18:24:23 1.3
Inclusion of Gaussian process based parameter estimation, and several new regression algorithms.
October 21, 2013, 18:15:23 1.2
Initial Announcement on mloss.org.
September 2, 2013, 20:22:31
- Improvements and demo script for profiler
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