We provide the relationship between the learning rate and the slope of a nonlinear activation function of a neuron within the framework of nonlinear modular cascaded systems realised through Recurrent Neural Network (RNN) architectures. This leads to reduction in the computational complexity of learning algorithms which continuously adapt the weights of such architectures, because there is a sm...

Exponentially weighted recursive least-squares (RLS) algorithms are commonly used for fast adaptation. In many cases the input signals are continuous-time. Either a fully analog implementation of the RLS algorithm is applied or the input data are sampled by analog-to-digital (AD) converters to be processed digitally. Although a digital realization is usually the preferred choice, it becomes unf...

We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations, as new data arrives. In particular, we look at two online algorithms: Robust-Exponentially Weighted Least Squares (R-EWRLS) and a regularized Online minimum Variance algorithm (O-VAR). Our methods use simple ideas f...

In this paper, a 2-D robust recursive least squares lattice algorithm is introduced and is applied to defect detection problem in textured images. The algorithm combines concepts of 1-D robust regression with the recursive least squares lattice algorithm. The philosophy of using different optimization functions that results in weighted least-squares solutions in the theory of 1-D robust regress...

It is a classical result of linear prediction theory that as long as the minimum prediction error variance is nonzero, the transfer function of the optimum linear prediction error filter for a stationary process is minimum phase, and therefore, its inverse is exponentially stable. Here, extensions of this result to the case of nonstationary processes are investigated. In that context, the filte...