prompt_front: Now, answer the following question based on the text below, only give me the answer and do not output any other words.

Question: Where is McPherson County located?

Read the following text and answer briefly.

Context 1: McPherson County (standard abbreviation: MP) is a county located in the U S  state of Kansas   As of the 2020 census, the county population was 30,223  The largest city and county seat is McPherson  The county is named for Civil War General James B  McPherson 

History

Early history

For many millennia, the Great Plains of North America was inhabited by nomadic Native Americans  From the 16th century to 18th century, the Kingdom of France claimed ownership of large parts of North America  In 1762, after the French and Indian War, France secretly ceded New France to Spain, per the Treaty of Fontainebleau  In 1802, Spain returned most of the land to France, but keeping title to about 7,500 square miles 

In 1803, most of the land for modern day Kansas was acquired by the United States from France as part of the 828,000 square mile Louisiana Purchase for 2 83 cents per acre  In 1848, after the Mexican–American War, the Treaty of Guadalupe Hidalgo with Spain brought into the United States all or part of land for ten future states, including southwest Kansas  In 1854, the Kansas Territory was organized, then in 1861 Kansas became the 34th U S  state 

19th century

From the 1820s to 1870s, the Santa Fe Trail passed through, what is now McPherson County  The trail entered the county, east of Canton, then south of Galva, then north of Inman, and west towards Lyons  In 1855, Charles O  Fuller established a ranch adjacent to the Running Turkey Creek Crossing about two miles south and one mile east of Galva  Fuller's Ranch provided accommodations for travelers on the Santa Fe Trail and was probably the first white settlement in McPherson County 

Peketon County was established in 1860, by the passage of a bill by S  N  Wood:  An act to establish Peketon County  Section 1  - That all that territory west of the sixth principal meridian and south of Township 16, in Kansas Territory, be and the same is hereby erected into a county, to be known by the name of Peketon County  On February 17, 1865, Peketon County was abolished, and McPherson County was made a part of Marion County, which extended from the west line of Chase County to the present western boundary of Kansas 

In 1868, Solomon Stephens and L  N  Holmberg were appointed Justices of the Peace—the first officers in what is now McPherson County  The next year (1869) occurred the first election for the township, now the county of McPherson  McPherson was regularly organized as a county in the spring of 1870, a mass meeting being held at Sweadal  Sweadal, the county seat thus selected, was located about one mile and a half southwest of the present site of Lindsborg  In September, however, the County Commissioners resolved to meet at the latter place, McPherson which had already been located some two years 

In April, 1873, a petition was filed for the county seat re-location  It was signed by 483 voters, and a special election was accordingly ordered for June 10  Upon that day, McPherson received 605 votes, New Gottland 325, King City 3 and Lindsborg 1; McPherson's majority over all, 276  In May the McPherson Town Company had offered, as an inducement for the location of the county seat at this point, the free use of rooms for ten years, and the donation of two squares of land on the town site  The offer was accepted the next month, the County Commissioners selecting blocks 56 and 65  Thus the county seat was established at McPherson and has remained since 

As early as 1875, city leaders of Marion held a meeting to consider a branch railroad from Florence  In 1878, Atchison, Topeka and Santa Fe Railway and parties from Marion County and McPherson County chartered the Marion and McPherson Railway Company   In 1879, a branch line was built from Florence to McPherson, in 1880 it was extended to Lyons, in 1881 it was extended to Ellinwood  The line was leased and operated by the Atchison, Topeka and Santa Fe Railway  The line from Florence to Marion, was abandoned in 1968  In 1992, the line from Marion to McPherson was sold to Central Kansas Railway  In 1993, after heavy flood damage, the line from Marion to McPherson was abandoned  The original branch line connected Florence, Marion, Canada, Hillsboro, Lehigh, Canton, Galva, McPherson, Conway, Windom, Little River, Mitchell, Lyons, Chase, then connected with the original AT&SF main line at Ellinwood 

In 1887, the Chicago, Kansas and Nebraska Railway extended its main line from Herington to Pratt   This main line connected Herington, Ramona, Tampa, Durham, Waldeck, Canton, Galva, McPherson, Groveland, Inman, Medora, Hutchinson, Whiteside, Partridge, Arlington,  Langdon, Turon, Preston, Natrona, Pratt   In 1888, this main line was extended to Liberal   Later, this line was extended to Tucumcari, New Mexico and Santa Rosa, New Mexico, where it made a connection with the Southern Pacific from El Paso, Texas   The Chicago, Kansas and Nebraska Railway was absorbed by the Chicago, Rock Island and Pacific Railway  This line is also called the "Golden State Route" 

20th century
The National Old Trails Road, also known as the Ocean-to-Ocean Highway, was established in 1912, and was routed through Windom, Conway, McPherson 

Geography

According to the U S  Census Bureau, the county has a total area of , of which  is land and  (0 3%) is water 

Adjacent counties
 Saline County (north)
 Dickinson County (northeast)
 Marion County (east)
 Harvey County (southeast)
 Reno County (southwest)
 Rice County (west)
 Ellsworth County (northwest)

Major highways
  Interstate 135
  U S  Route 56
  U S  Route 81
  K-4
  K-61
  K-153

Demographics

The McPherson Micropolitan Statistical Area includes all of McPherson County 

2000 census
As of the census of 2000, there were 29,554 people, 11,205 households, and 7,966 families residing in the county   The population density was 33 people per square mile (13/km2)   There were 11,830 housing units at an average density of 13 per square mile (5/km2)   The racial makeup of the county was 96 53% White, 0 81% Black or African American, 0 34% Native American, 0 32% Asian, 0 06% Pacific Islander, 0 79% from other races, and 1 16% from two or more races   1 94% of the population were Hispanic or Latino of any race  37 1% were of German, 12 9% Swedish, 12 1% American, 6 7% English and 6 3% Irish ancestry according to Census 2000 

There were 11,205 households, out of which 33 00% had children under the age of 18 living with them, 62 50% were married couples living together, 6 00% had a female householder with no husband present, and 28 90% were non-families  25 50% of all households were made up of individuals, and 11 80% had someone living alone who was 65 years of age or older   The average household size was 2 49 and the average family size was 2 99 

In the county, the population was spread out, with 25 40% under the age of 18, 10 30% from 18 to 24, 25 20% from 25 to 44, 21 80% from 45 to 64, and 17 30% who were 65 years of age or older   The median age was 38 years  For every 100 females there were 95 90 males   For every 100 females age 18 and over, there were 92 90 males 

The median income for a household in the county was $41,138, and the median income for a family was $48,243  Males had a median income of $33,530 versus $21,175 for females  The per capita income for the county was $18,921   About 4 20% of families and 6 60% of the population were below the poverty line, including 5 20% of those under age 18 and 8 10% of those age 65 or over 

Government

Presidential elections
McPherson county is often carried by Republican candidates  The last time a Democratic candidate has carried this county was in 1964 by Lyndon B  Johnson 

Laws
Following amendment to the Kansas Constitution in 1986, the county remained a prohibition, or "dry", county until 1996, when voters approved the sale of alcoholic liquor by the individual drink with a 30 percent food sales requirement 

Education

Colleges
 McPherson College in McPherson
 Bethany College in Lindsborg
 Central Christian College in McPherson

Unified school districts
 Smoky Valley USD 400
 McPherson USD 418
 Canton-Galva USD 419
 Moundridge USD 423
 Inman USD 448

School district office in neighboring county
 Goessel USD 411
 Little River-Windom USD 444

Museums
 Birger Sandzén Memorial Gallery in Lindsborg
 McCormick-Deering Days Museum in Inman
 McPherson Museum in McPherson
 Lindsborg Old Mill & Swedish Heritage Museum in Lindsborg
 Kansas Motorcycle Museum in Marquette

Communities

Cities

 Canton
 Galva
 Inman
 Lindsborg
 Marquette
 McPherson (county seat) 
 Moundridge
 Windom

Unincorporated communities
† means a Census-Designated Place (CDP) by the United States Census Bureau 
 Conway
 Elyria†
 Groveland
 Johnstown
 New Gottland
 Roxbury†

Ghost towns
 Alta Mills
 Battle Hill
 Christian
 Doles Park
 Elivon
 King City
 Sweadal

Townships
McPherson County is divided into twenty-five townships   The cities of Lindsborg and McPherson are considered governmentally independent and are excluded from the census figures for the townships   In the following table, the population center is the largest city (or cities) included in that township's population total, if it is of a significant size 

See also
 List of people from McPherson County, Kansas
 National Register of Historic Places listings in McPherson County, Kansas
 McPherson Valley Wetlands
 Maxwell Wildlife Refuge

References

Notes

Further reading

 Wheeler, Wayne Leland  "An Analysis of Social Change in a Swedish-Immigrant Community: The Case of Lindsborg, Kansas " (PhD dissertation, University of Missouri-Columbia; ProQuest Dissertations Publishing, 1959  5905657) 

County
 Through the Years: A Pictorial History of McPherson County; McPherson Sentinel' Heritage House Publishing Co; 1992 
 McPherson County First Courthouse Built About 1869 or 1870; Lindsborg News-Record; March 30, 1959 
 Pioneer Life and Lore of McPherson County, Kansas; Edna Nyquist; Democratic-Opinion Press; 1932 
 A History of the Church of the Brethren in Kansas (includes McPherson College history); Elmer LeRoy Craik; McPherson Daily; Republican Press; 397 pages; 1922 
 Portrait and Biographical Record of Dickinson, Saline, McPherson, and Marion Counties, Kansas; Chapman Bros; 614 pages; 1893 
 Standard Atlas of McPherson County, Kansas; Geo  A  Ogle & Co; 82 pages; 1921 
 Plat Book of McPherson County, Kansas; North West Publishing Co; 50 pages; 1903 
 Edwards' Atlas of McPherson County, Kansas; John P  Edwards; 51 pages; 1884 

Trails
 The Story of the Marking of the Santa Fe Trail by the Daughters of the American Revolution in Kansas and the State of Kansas; Almira Cordry; Crane Co; 164 pages; 1915  (Download 4MB PDF eBook)
 The National Old Trails Road To Southern California, Part 1 (LA to KC); Automobile Club Of Southern California; 64 pages; 1916  (Download 6 8MB PDF eBook)

Mennonite Settlements
 Impact of Mennonite settlement on the cultural landscape of Kansas; Brenda Martin; Kansas State University; 1985/1988  
 Mennonite settlement : the relationship between the physical and cultural environment; Susan Movle; University of Utah; 1975/1886 
 Status of Mennonite women in Kansas in their church and home relationships; Eva Harshbarger; Bluffton College; 1925/1945 

External links

County
 
 McPherson County - Directory of Public Officials
Historical
 , from Hatteberg's People'' on KAKE TV news
Maps
 McPherson County Maps: Current, Historic, KDOT
 Kansas Highway Maps: Current, Historic, KDOT
 Kansas Railroad Maps: Current, 1996, 1915, KDOT and Kansas Historical Society

 
Kansas counties
1867 establishments in Kansas




ground_truth: McPherson County is located in the U.S. state of Kansas.

prompt_front: Now, answer the following question based on the text below, only give me the answer and do not output any other words.

Question: What hedge fund's collapse in 1998 highlighted the need for regulation of derivatives?

Read the following text and answer briefly.

Context 2: Brooksley Elizabeth Born (born August 27, 1940) is an American attorney and former public official who, from August 26, 1996, to June 1, 1999, was chair of the Commodity Futures Trading Commission (CFTC), the federal agency which oversees the U S  futures and commodity options markets  During her tenure on the CFTC, Born lobbied Congress and the President to give the CFTC oversight of off-exchange markets for derivatives, in addition to its role with respect to exchange-traded derivatives, but her warnings were ignored or dismissed, and her calls for reform resisted by other regulators <ref name="nytimes">Goodman, Peter S  The Reckoning - Taking Hard New Look at a Greenspan Legacy, The New York Times, October 9, 2008 </ref> Born resigned as chairperson on June 1, 1999, shortly after Congress passed legislation prohibiting her agency from regulating derivatives 

In 2009, Born received the John F  Kennedy Profiles in Courage Award, along with Sheila Bair of the Federal Deposit Insurance Corporation, in recognition of the "political courage she demonstrated in sounding early warnings about conditions that contributed" to the 2007-08 financial crisis 

Early life and education
Born graduated from Abraham Lincoln High School (San Francisco, California) at the age of 16  She then attended Stanford University, where she majored in English and was graduated with the class of 1961   She initially wanted to become a doctor, but a guidance counsellor at Stanford advised her against medicine, so she majored in English literature instead 

She then attended Stanford Law School, one of only seven women in her class   She was the first female student ever to be named president of the Stanford Law Review  She received the "Outstanding Senior" award and graduated as valedictorian of the class of 1964 

Legal career
Immediately after law school Born was selected as a law clerk to judge Henry Edgerton of the U S  Court of Appeals for the District of Columbia Circuit  It was during this time that she met her first husband, Jacob C  Landau, who was a journalist covering the Federal courts at the time  Following her clerkship, she became an associate at the Washington, D C -based international law firm of Arnold & Porter  Born was attracted to Arnold & Porter because it was one of the few major law firms to have a woman partner at that time, Carolyn Agger, who was the head of the tax practice  Born took a two-year leave of absence from Arnold & Porter to accompany her first husband to Boston, where he had received a fellowship  During that time she worked as a research assistant to law professor Alan Dershowitz 

Born's early career at Arnold & Porter focused on international trade law, in which she represented a number of Swiss industries and the government of Switzerland  She developed a practice representing clients in numerous complex litigation and arbitration cases involving financial market transactions  Among her high-profile cases was the matter of the Hunt Brothers attempt to corner the market in silver in the 1970s  She made partner at Arnold & Porter, after moving to a three-day schedule to help raise her second child, and eventually rose to be the head of the firm's derivatives practice 

Born was among the first female attorneys to systematically address inequities regarding how the laws treated women  Born and another female lawyer, Marna Tucker, taught what is considered to have been the first "Women and the Law" course at Catholic University’s Columbus School of Law  The class exclusively concerned prejudicial treatment of women under the laws of the United States, past and present   Born and Tucker were surprised to discover that there was no textbook on the issue at the time   Born is also one of the co-founders of the National Women's Law Center  Born also helped rewrite the American Bar Association rules to make it possible for more women and minorities to sit on federal bench 

During her long legal career, and into her retirement, Born did much pro bono and other types of volunteer work  She was active in the American Bar Association, the largest professional organization of lawyers in the United States   Initially Born was named a member of the governing council of the ABA's Individual Rights Section, eventually becoming chairperson   Born and Tucker founded the ABA Women's Caucus, the first organization of female lawyers in the ABA   She held several other senior positions in the ABA, including being named the first woman member of the ABA's Standing Committee on the Federal Judiciary   As a member of the Judiciary Committee, Born provided testimony and opinion on persons nominated for federal judgeships  In 1980 she was named chair of the committee   As chair of the committee, Born was invited to address the U S  Congress regarding the nomination of Judge Sandra Day O'Connor to the U S  Supreme Court 

In 1993, Born's name was floated as a possible candidate for Attorney General of the United States, but Janet Reno was nominated 

In July 2009, Nancy Pelosi appointed Brooksley Born as a commissioner to the Financial Crisis Inquiry Commission (FCIC) 

Born and the OTC derivatives market
Born was appointed to the CFTC on April 15, 1994, by President Bill Clinton  Due to litigation against Bankers Trust Company by Procter and Gamble and other corporate clients, Born and her team at the CFTC sought comments on the regulation of over-the-counter derivatives, a first step in the process of writing CFTC regulations to supplement the existing regulations of the Federal Reserve System,  the Options Clearing Corporation, and the National Association of Insurance Commissioners  Born was particularly concerned about swaps, financial instruments that are traded over the counter between banks, insurance companies or other funds or companies, and thus have no transparency except to the two counterparties and the counterparties' regulators, if any   CFTC regulation was strenuously opposed by Federal Reserve chairman Alan Greenspan, and by Treasury Secretaries Robert Rubin and Lawrence Summers  On May 7, 1998, former SEC Chairman Arthur Levitt joined Rubin and Greenspan in objecting to the issuance of the CFTC's concept release  Their response dismissed Born's analysis and focused on the hypothetical possibility that CFTC regulation of swaps and other OTC derivative instruments could create a "legal uncertainty" regarding such financial instruments,  hypothetically reducing the value of the instruments  They argued that the imposition of regulatory costs would "stifle financial innovation" and encourage financial capital to transfer its  transactions offshore  The disagreement between Born and the Executive Office's top economic policy advisors has been described not only as a classic Washington turf war, but also a war of ideologies,  insofar as it is possible to argue that Born's actions were consistent with Keynesian and neoclassical economics while Greenspan, Rubin, Levitt, and Summers consistently espoused neoliberal, and neoconservative policies 

In 1998, a trillion-dollar hedge fund called Long Term Capital Management (LTCM) was near collapse   Using mathematical models to calculate debt risk, LTCM used derivatives to leverage $5 billion into more than $1 trillion, doing business with fifteen of Wall Street's largest financial institutions   The derivative transactions were not regulated, nor were investors able to evaluate LTCM's exposures   Born stated, "I thought that LTCM was exactly what I had been worried about"   In the last weekend of September 1998, the President's working group was told that the entire American economy hung in the balance   After intervention by the Federal Reserve, the crisis was averted   In congressional hearings into the crisis, Greenspan acknowledged that language had been introduced into an agriculture bill that would prevent CFTC from regulating the derivatives which were at the center of the crisis that threatened the US economy   U S  Representative Maurice Hinchey (D-NY) asked "How many more failures do you think we'd have to have before some regulation in this area might be appropriate?"  In response, Greenspan brushed aside the substance of Born's warnings with the simple assertion that "the degree of supervision of regulation of the over-the-counter derivatives market is quite adequate to maintain a degree of stability in the system"  Born's warning was that there wasn't any regulation of them   Born's chief of staff, Michael Greenberger summed up Greenspan's position this way: "Greenspan didn't believe that fraud was something that needed to be enforced, and he assumed she probably did  And of course, she did "  Under heavy pressure from the financial lobby, legislation prohibiting regulation of derivatives by Born's agency was passed by the Congress   Born resigned on June 1, 1999 

The derivatives market continued to grow yearly throughout both terms of George W  Bush's administration  On September 15, 2008, the bankruptcy of Lehman Brothers forced a broad recognition of a financial crisis in both the US and world capital markets   As Lehman Brothers' failure temporarily reduced financial capital's confidence, a number of newspaper articles and television programs suggested that the failure's possible causes included the conflict between the CFTC and the other regulators Faiola, Anthony, Nakashima, Ellen and Drew, Jill  The Crash: Risk and Regulation - What Went Wrong, The Washington Post, October 15, 2008 

Born declined to publicly comment on the unfolding 2008 crisis until March 2009, when she said: "The market grew so enormously, with so little oversight and regulation, that it made the financial crisis much deeper and more pervasive than it otherwise would have been " She also lamented the influence of Wall Street lobbyists on the process and the refusal of regulators to discuss even modest reforms 

An October 2009 Frontline documentary titled "The Warning"  described Born's thwarted efforts to regulate and bring transparency to the derivatives market, and the continuing opposition thereto  The program concluded with an excerpted interview with Born sounding another warning: "I think we will have continuing danger from these markets and that we will have repeats of the financial crisis -- may differ in details but there will be significant financial downturns and disasters attributed to this regulatory gap, over and over, until we learn from experience "

In 2009 Born, along with Sheila Bair of the FDIC, was awarded the John F  Kennedy Profiles in Courage Award in recognition of the "political courage she demonstrated in sounding early warnings about conditions that contributed" to the 2007-08 financial crisis   According to Caroline Kennedy, "Brooksley Born recognized that the financial security of all Americans was being put at risk by the greed, negligence and opposition of  powerful and well connected interests     The catastrophic financial events of recent months have  proved them [Born and Sheila Bair] right "  One member of the President's working group had a change of heart about Brooksley Born   SEC Chairman Arthur Levitt stated "I've come to know her as one of the most capable, dedicated, intelligent and committed public servants that I have ever come to know", adding that "I could have done much better  I could have made a difference" in response to her warnings 

In 2010, a documentary film Inside Job further alleged that derivatives regulation was ineffective from the Clinton administration on  Along with fellow whistleblower, former IMF Chief Economist Raghuram Rajan, who was also scorned by the economic establishment, Brooksley Born was cited as one of the authorities arguing that financial derivatives increase economic risk 

 Personal life 
Born is married to Alexander E  Bennett (also retired from Arnold & Porter)   She has five adult children - two from a previous marriage to Jacob Landau and three stepchildren  Notably, Born was named a partner at Arnold & Porter while working part-time so she could raise her two young children   When both of her children were school-age, Born returned to practice full-time 

References

External links
Attorney profile at Arnold & Porter
Brooksley Born (2009 Winner) of the Profiles in Courage Award, with acceptance speech transcript and NECN video

Profile at MarketsWiki
Speeches and statements
"Testimony Of Brooksley Born Chairperson of the CFTC Concerning The Over-The-Counter Derivatives Market", before the House Committee On Banking And Financial Services, July 24, 1998 
"The Lessons of Long Term Capital Management L P ", Remarks of Brooksley Born, Chairperson of the CFTC, Chicago-Kent-IIT Commodities Law Institute, Chicago, Illinois, October 15, 1998 
 Interview: Brooksley Born for "PBS Frontline: The Warning", PBS, (streaming VIDEO 1 hour), October 20, 2009 
Articles
Manuel Roig-Franzia  "Credit Crisis Cassandra:Brooksley Born's Unheeded Warning Is a Rueful Echo 10 Years On", The Washington Post, May 26, 2009
 Taibbi, Matt  "The Great American Bubble Machine", Rolling Stone'', July 9–23, 2009

1940 births
American women lawyers
Arnold & Porter people
Clinton administration personnel
Columbus School of Law faculty
Commodity Futures Trading Commission personnel
Heads of United States federal agencies
Lawyers from San Francisco
Living people
Stanford Law School alumni
21st-century American women

Context 3: \section{Introduction}
\label{sec:introduction}

Probabilistic models have proven to be very useful in a lot of applications in signal processing where signal estimation is needed \cite{rabiner1989tutorial,arulampalam2002tutorial,ji2008bayesian}  Some of their advantages are that 1) they force the designer to specify all the assumptions of the model, 2) they provide a clear separation between the model and the algorithm used to solve it, and 3) they usually provide some measure of uncertainty about the estimation 

On the other hand, adaptive filtering is a standard approach in estimation problems when the input is received as a stream of data that is potentially non-stationary  This approach is widely understood and applied to several problems such as echo cancellation \cite{gilloire1992adaptive}, noise cancellation \cite{nelson1991active}, and channel equalization \cite{falconer2002frequency} 

Although these two approaches share some underlying relations, there are very few connections in the literature  The first important attempt in the signal processing community to relate these two fields was the connection between a linear Gaussian state-space model (i e  Kalman filter) and the RLS filter, by Sayed and Kailath \cite{sayed1994state} and then by Haykin \emph{et al } \cite{haykin1997adaptive}  The RLS adaptive filtering algorithm emerges naturally when one defines a particular state-space model (SSM) and then performs exact inference in that model  This approach was later exploited in \cite{van2012kernel} to design a kernel RLS algorithm based on Gaussian processes 

A first attempt to approximate the LMS filter from a probabilistic perspective was presented in \cite{park2014probabilistic}, focusing on a kernel-based implementation  The algorithm of \cite{park2014probabilistic} makes use of a Maximum a Posteriori (MAP) estimate as an approximation for the predictive step  However, this approximation does not preserve the estimate of the uncertainty in each step, therefore degrading the performance of the algorithm 

In this work, we provide a similar connection between state-space models and least-mean-squares (LMS)  Our approach is based on approximating the posterior distribution with an isotropic Gaussian distribution  We show how the computation of this approximated posterior leads to a linear-complexity algorithm, comparable to the standard LMS  Similar approaches have already been developed for a variety of problems such as channel equalization using recurrent RBF neural networks \cite{cid1994recurrent}, or Bayesian forecasting \cite{harrison1999bayesian}  Here, we show the usefulness of this probabilistic approach for adaptive filtering 

The probabilistic perspective we adopt throughout this work presents two main advantages  Firstly, a novel LMS algorithm with adaptable step size emerges naturally with this approach, making it suitable for both stationary and non-stationary environments  The proposed algorithm has less free parameters than previous LMS algorithms with variable step size \cite{kwong1992variable,aboulnasr1997robust,shin2004variable}, and its parameters are easier to be tuned w r t  these algorithms and standard LMS  Secondly, the use of a probabilistic model provides us with an estimate of the error variance, which is useful in many applications 

Experiments with simulated and real data show the advantages of the presented approach with respect to previous works  However, we remark that the main contribution of this paper is that it opens the door to introduce more Bayesian machine learning techniques, such as variational inference and Monte Carlo sampling methods \cite{barber2012bayesian}, to adaptive filtering \\


\section{Probabilistic Model}

Throughout this work, we assume the observation model to be linear-Gaussian with the following distribution,

\begin{equation}
p(y_k|{\bf w}_k) = \mathcal{N}(y_k;{\bf x}_k^T {\bf w}_k , \sigma_n^2),
\label{eq:mess_eq}
\end{equation}
where  $\sigma_n^2$ is the variance of the observation noise, ${\bf x}_k$ is the regression vector and ${\bf w}_k$ is the parameter vector to be sequentially estimated, both $M$-dimensional column vectors 


In a non-stationary scenario, ${\bf w}_k$ follows a dynamic process  In particular, we consider a diffusion process (random-walk model) with variance $\sigma_d^2$ for this parameter vector:


\begin{equation}
p({\bf w}_k|{\bf w}_{k-1})= \mathcal{N}({\bf w}_k;{\bf w}_{k-1}, \sigma_d^2 {\bf I}),
\label{eq:trans_eq}
\end{equation}
where $\bf I$ denotes the identity matrix  In order to initiate the recursion, we assume the following prior distribution on ${\bf w}_k$

\begin{equation}
p({\bf w}_0)= \mathcal{N}({\bf w}_0;0, \sigma_d^2{\bf I}) \nonumber
\end{equation}

\section{Exact inference in this model: Revisiting the RLS filter}

Given the described probabilistic SSM, we would like to infer the posterior probability distribution $p({\bf w}_k|y_{1:k})$ 
Since all involved distributions are Gaussian, one can perform exact inference, leveraging the probability rules in a straightforward manner  The resulting probability distribution is
\begin{equation}
p({\bf w}_k|y_{1:k}) =  \mathcal{N}({\bf w}_k;{\bf\boldsymbol\mu}_{k}, \boldsymbol\Sigma_{k}), \nonumber
\end{equation}
in which the mean vector ${\bf\boldsymbol\mu}_{k}$ is given by
\begin{equation}
{\bf\boldsymbol\mu}_k = {\bf\boldsymbol\mu}_{k-1} + {\bf K}_k (y_k - {\bf x}_k^T {\bf\boldsymbol\mu}_{k-1}){\bf x}_k, \nonumber
\end{equation}
where we have introduced the auxiliary variable
\begin{equation}
{\bf K}_k = \frac{ \left(\boldsymbol\Sigma_{k-1} + \sigma_d^2 {\bf I}\right)}{{\bf x}_k^T  \left(\boldsymbol\Sigma_{k-1} + \sigma_d^2 {\bf I}\right)  {\bf x}_k + \sigma_n^2}, \nonumber
\end{equation}
and the covariance matrix $\boldsymbol\Sigma_k$ is obtained as
\begin{equation}
\boldsymbol\Sigma_k = \left( {\bf I} -  {\bf K}_k{\bf x}_k {\bf x}_k^T \right) ( \boldsymbol\Sigma_{k-1} +\sigma_d^2), \nonumber
\end{equation}
Note that the mode of $p({\bf w}_k|y_{1:k})$, i e  the maximum-a-posteriori estimate (MAP), coincides with the RLS adaptive rule
\begin{equation}
{{\bf w}}_k^{(RLS)} = {{\bf w}}_{k-1}^{(RLS)} + {\bf K}_k (y_k - {\bf x}_k^T {{\bf w}}_{k-1}^{(RLS)}){\bf x}_k  
\label{eq:prob_rls}
\end{equation}
This rule is similar to the one introduced in \cite{haykin1997adaptive} 

Finally, note that the covariance matrix $\boldsymbol\Sigma_k$ is a measure of the uncertainty of the estimate ${\bf w}_k$ conditioned on the observed data $y_{1:k}$  Nevertheless, for many applications a single scalar summarizing the variance of the estimate could prove to be sufficiently useful  In the next section, we show how such a scalar is obtained naturally when $p({\bf w}_k|y_{1:k})$ is approximated with an isotropic Gaussian distribution  We also show that this approximation leads to an LMS-like estimation 
 


\section{Approximating the posterior distribution: LMS filter }

The proposed approach consists in approximating the posterior distribution $p({\bf w}_k|y_{1:k})$, in general a multivariate Gaussian distribution with a full covariance matrix, by an isotropic spherical Gaussian distribution 

\begin{equation}
\label{eq:aprox_post}
\hat{p}({\bf w}_{k}|y_{1:k})=\mathcal{N}({\bf w}_{k};{\bf \hat{\boldsymbol\mu}}_{k}, \hat{\sigma}_{k}^2 {\bf I} ) 
\end{equation}

In order to estimate the mean and covariance of the approximate distribution $\hat{p}({\bf w}_{k}|y_{1:k})$, we propose to select those that minimize the Kullback-Leibler divergence with respect to the original distribution, i e , 

\begin{equation}
\{\hat{\boldsymbol\mu}_k,\hat{\sigma}_k\}=\arg \displaystyle{  \min_{\hat{\boldsymbol\mu}_k,\hat{\sigma}_k}} \{ D_{KL}\left(p({\bf w}_{k}|y_{1:k}))\| \hat{p}({\bf w}_{k}|y_{1:k})\right) \}  \nonumber
\end{equation}

The derivation of the corresponding minimization problem can be found in Appendix A  In particular, the optimal mean and the covariance are found as
\begin{equation}
{\hat{\boldsymbol\mu}}_{k} = {\boldsymbol\mu}_{k};~~~~~~ \hat{\sigma}_{k}^2 = \frac{{\sf Tr}\{ \boldsymbol\Sigma_k\} }{M} 
\label{eq:sigma_hat}
\end{equation}


We now show that by using \eqref{eq:aprox_post} in the recursive predictive and filtering expressions we obtain an LMS-like adaptive rule  First, let us assume that we have an approximate posterior distribution at $k-1$, $\hat{p}({\bf w}_{k-1}|y_{1:k-1}) =  \mathcal{N}({\bf w}_{k-1};\hat{\bf\boldsymbol\mu}_{k-1}, \hat{\sigma}_{k-1}^2 {\bf I} )$  Since all involved distributions are Gaussian, the predictive distribution
is obtained as %
\begin{eqnarray}
\hat{p}({\bf w}_k|y_{1:k-1}) &=& \int p({\bf w}_k|{\bf w}_{k-1}) \hat{p}({\bf w}_{k-1}|y_{1:k-1}) d{\bf w}_{k-1} \nonumber\\
&=& \mathcal{N}({\bf w}_k;{\bf\boldsymbol\mu}_{k|k-1}, \boldsymbol\Sigma_{k|k-1}), 
\label{eq:approx_pred}
\end{eqnarray}
where the mean vector and covariance matrix are given by
\begin{eqnarray}
\hat{\bf\boldsymbol\mu}_{k|k-1} &=& \hat{\bf\boldsymbol\mu}_{k-1} \nonumber \\
\hat{\boldsymbol\Sigma}_{k|k-1} &=& (\hat{\sigma}_{k-1}^2 + \sigma_d^2 ){\bf I}\nonumber 
\end{eqnarray}

From \eqref{eq:approx_pred}, the posterior distribution at time $k$ can be computed using Bayes' Theorem and standard Gaussian manipulations (see for instance \cite[Ch  4]{murphy2012machine})  Then, we approximate the posterior $p({\bf w}_k|y_{1:k})$ with an isotropic Gaussian,
\begin{equation}
\hat{p}({\bf w}_k|y_{1:k}) =  \mathcal{N}({\bf w}_k ; {\hat{\boldsymbol\mu}}_{k}, \hat{\sigma}_k^2 {\bf I} ),\nonumber
\end{equation}
where 
\begin{eqnarray}
{\hat{\boldsymbol\mu}}_{k} &= & {\hat{\boldsymbol\mu}}_{k-1}+ \frac{ (\hat{\sigma}_{k-1}^2+ \sigma_d^2)  }{(\hat{\sigma}_{k-1}^2+ \sigma_d^2)  \|{\bf x}_k\|^2 + \sigma_n^2} (y_k - {\bf x}_k^T {\hat{\boldsymbol\mu}}_{k-1}){\bf x}_k  \nonumber  \\
&=& {\hat{\boldsymbol\mu}}_{k-1}+ \eta_k (y_k - {\bf x}_k^T {\hat{\boldsymbol\mu}}_{k-1}){\bf x}_k   
\label{eq:prob_lms}
\end{eqnarray}
Note that, instead of a gain matrix ${\bf K}_k$ as in Eq ~\eqref{eq:prob_rls}, we now have a scalar gain $\eta_k$ that operates as a variable step size 


Finally, to obtain the posterior variance, which is our measure of uncertainty, we apply \eqref{eq:sigma_hat} and the trick ${\sf Tr}\{{\bf x}_k{\bf x}_k^T\}= {\bf x}_k^T{\bf x}_k= \|{\bf x}_k \|^2$,

\begin{eqnarray}
\hat{\sigma}_k^2 &=& \frac{{\sf Tr}(\boldsymbol\Sigma_k)}{M} \\
&=& \frac{1}{M}{\sf Tr}\left\{ \left( {\bf I} -  \eta_k {\bf x}_k {\bf x}_k^T \right) (\hat{\sigma}_{k-1}^2 +\sigma_d^2)\right\} \\
&=& \left(1 - \frac{\eta_k \|{\bf x}_k\|^2}{M}\right)(\hat{\sigma}_{k-1}^2 +\sigma_d^2) 
\label{eq:sig_k}
\end{eqnarray}
If MAP estimation is performed, we obtain  an adaptable step-size LMS estimation

\begin{equation}
{\bf w}_{k}^{(LMS)} = {\bf w}_{k-1}^{(LMS)} + \eta_k (y_k - {\bf x}_k^T {\bf w}_{k-1}^{(LMS)}){\bf x}_k, 	
\label{eq:lms}
\end{equation}
with
\begin{equation}
\eta_k = \frac{ (\hat{\sigma}_{k-1}^2+ \sigma_d^2)  }{(\hat{\sigma}_{k-1}^2+ \sigma_d^2)  \|{\bf x}_k\|^2 + \sigma_n^2} \nonumber
\end{equation}
At this point, several interesting remarks can be made:

\begin{itemize}

\item The adaptive rule \eqref{eq:lms} has linear complexity since it does not require us to compute the full matrix $\boldsymbol\Sigma_k$ 

\item For a stationary model, we have $\sigma_d^2=0$ in \eqref{eq:prob_lms} and \eqref{eq:sig_k}  In this case, the algorithm remains valid and both the step size and the error variance, $\hat{\sigma}_{k}$, vanish over time $k$  

\item Finally, the proposed adaptable step-size LMS has only two parameters, $\sigma_d^2$ and $\sigma_n^2$, (and only one, $\sigma_n^2$, in stationary scenarios) in contrast to other variable step-size algorithms \cite{kwong1992variable,aboulnasr1997robust,shin2004variable}  More interestingly, both $\sigma_d^2$ and $\sigma_n^2$ have a clear underlying physical meaning, and they can be estimated in many cases  We will comment more about this in the next section  
\end{itemize}



\section{Experiments}
\label{sec:experiments}

We evaluate the performance of the proposed algorithm in both stationary and tracking experiments  In the first experiment, we estimate a fixed vector ${\bf w}^{o}$ of dimension $M=50$  The entries of the vector are independently and uniformly chosen in the range $[-1,1]$  Then, the vector is normalized so that $\|{\bf w}^o\|=1$  Regressors $\boldsymbol{x}_{k}$ are zero-mean Gaussian vectors with identity covariance matrix  The additive noise variance is such that the SNR is $20$ dB



ground_truth: Long Term Capital Management (LTCM).

prompt_front: Now, answer the following question based on the text below, only give me the answer and do not output any other words.

Question: What is the proposed approach in this research paper?

Read the following text and answer briefly.

Context 3:  We compare our algorithm with standard RLS and three other LMS-based algorithms: LMS, NLMS \cite{sayed2008adaptive}, VSS-LMS \cite{shin2004variable} \footnote{The used parameters for each algorithm are: for RLS $\lambda=1$, $\epsilon^{-1}=0 01$; for LMS $\mu=0 01$; for NLMS $\mu=0 5$; and for VSS-LMS $\mu_{max}=1$, $\alpha=0 95$, $C=1e-4$ } The probabilistic LMS algorithm in \cite{park2014probabilistic} is not simulated because it is not suitable for stationary environments 

In stationary environments, the proposed algorithm has only one parameter, $\sigma^2_n$  We simulate both the scenario where we have perfectly knowledge of the amount of noise (probLMS1) and the case where the value $\sigma^2_n$ is $100$ times smaller than the actual value (probLMS2)  The Mean-Square Deviation (${\sf MSD} = {\mathbb E} \| {\bf w}_0 - {\bf w}_k \|^2$), averaged out over $50$ independent simulations, is presented in Fig  \ref{fig:msd_statationary} 



\begin{figure}[htb]
\centering
\begin{minipage}[b]{\linewidth}
  \centering
  \centerline{\includegraphics[width=\textwidth]{results_stationary_MSD}}
\end{minipage}
\caption{Performance in terms of MSD of probabilistic LMS with both optimal (probLMS1) and suboptimal (probLMS2) compared to LMS, NLMS, VS-LMS, and RLS }
\label{fig:msd_statationary}
\end{figure}

The performance of probabilistic LMS is close to RLS (obviously at a much lower computational cost) and largely outperforms previous variable step-size LMS algorithms proposed in the literature  Note that, when the model is stationary, i e  $\sigma^2_d=0$ in \eqref{eq:trans_eq},  both the uncertainty $\hat{\sigma}^2_k$, and the adaptive step size $\eta_k$, vanish over time  This implies that the error tends to zero when $k$ goes to infinity  Fig  \ref{fig:msd_statationary} also shows that the proposed approach is not very sensitive to a bad choice of its only parameter, as demonstrated by the good results of probLMS2, which uses a $\sigma^2_n$ that is $100$ times smaller than the optimal value  


\begin{figure}[htb]
\centering
\begin{minipage}[b]{\linewidth}
  \centering
  \centerline{\includegraphics[width=\textwidth]{fig2_final}}
\end{minipage}
\caption{Real part of one coefficient of the measured and estimated channel in experiment two  The shaded area represents two standard deviations from the prediction {(the mean of the posterior distribution)} }
\label{fig_2}
\end{figure}


\begin{table}[ht]
\begin{footnotesize}
\setlength{\tabcolsep}{2pt}
\def1 5mm{1 5mm}
\begin{center}
\begin{tabular}{|l@{\hspace{1 5mm}}|c@{\hspace{1 5mm}}|c@{\hspace{1 5mm}}|c@{\hspace{1 5mm}}|c@{\hspace{1 5mm}}|c@{\hspace{1 5mm}}|c@{\hspace{1 5mm}}|}
\hline
Method &  LMS &  NLMS & LMS-2013 & VSSNLMS & probLMS & RLS \\
\hline
\hline
MSD (dB) &-28 45 &-21 07 &-14 36 &-26 90 &-28 36 &-25 97\\
\hline                                                                     
\end{tabular}
\end{center}
\caption{Steady-state MSD of the different algorithms for the tracking of a real MISO channel }
\label{tab:table_MSD}
\end{footnotesize}

\end{table}
\newpage
In a second experiment, we test the tracking capabilities of the proposed algorithm with {real} data of a wireless MISO channel acquired in a realistic indoor scenario  More details on the setup can be found in \cite{gutierrez2011frequency}  Fig  \ref{fig_2} shows the real part of one of the channels, and the estimate of the proposed algorithm  The shaded area represents the estimated uncertainty for each prediction, i e  $\hat{\mu}_k\pm2\hat{\sigma}_k$  Since the experimental setup does not allow us to obtain the optimal values for the parameters, we fix these parameters to their values that optimize the steady-state mean square deviation (MSD)  \hbox{Table \ref{tab:table_MSD}} shows this steady-state MSD of the estimate of the MISO channel with different methods  As can be seen, the best tracking performance is obtained by standard LMS and the proposed method  





\section{Conclusions and Opened Extensions}
\label{sec:conclusions}

{We have presented a probabilistic interpretation of the least-mean-square filter  The resulting algorithm is an adaptable step-size LMS that performs well both in stationary and tracking scenarios  Moreover, it has fewer free parameters than previous approaches and these parameters have a clear physical meaning  Finally, as stated in the introduction, one of the advantages of having a probabilistic model is that it is easily extensible:}

\begin{itemize}
\item If, instead of using an isotropic Gaussian distribution in the approximation, we used a Gaussian with diagonal covariance matrix, we would obtain a similar algorithm with different step sizes and measures of uncertainty, for each component of ${\bf w}_k$  Although this model can be more descriptive, it needs more parameters to be tuned, and the parallelism with LMS vanishes 
\item Similarly, if we substitute the transition model of \eqref{eq:trans_eq} by an Ornstein-Uhlenbeck process, 

\begin{equation}
p({\bf w}_k|{\bf w}_{k-1})= \mathcal{N}({\bf w}_k;\lambda {\bf w}_{k-1}, \sigma_d^2), \nonumber
\label{eq:trans_eq_lambda}
\end{equation}
a similar algorithm is obtained but with a forgetting factor $\lambda$ multiplying ${\bf w}_{k-1}^{(LMS)}$ in \eqref{eq:lms}  This algorithm may have improved performance under such a kind of autoregresive dynamics of ${\bf w}_{k}$, though, again, the connection with standard LMS becomes dimmer 

\item As in \cite{park2014probabilistic}, the measurement model \eqref{eq:mess_eq} can be changed to obtain similar adaptive algorithms for classification, ordinal regression, and Dirichlet regression for compositional data  

\item A similar approximation technique could be applied to more complex dynamical models, i e  switching dynamical models \cite{barber2010graphical}  The derivation of efficient adaptive algorithms that explicitly take into account a switch in the dynamics of the parameters of interest is a non-trivial and open problem, though the proposed approach could be useful 

\item Finally, like standard LMS, this algorithm can be kernelized for its application in estimation under non-linear scenarios 

\end{itemize}


\begin{appendices}

\section{KL divergence between a general gaussian distribution and an isotropic gaussian}
\label{sec:kl}

 We want to approximate  $p_{{\bf x}_1}(x) = \mathcal{N}({\bf x}; \boldsymbol\mu_1,\boldsymbol\Sigma_1)$ by $p_{{\bf x}_2}({\bf x}) = \mathcal{N}({\bf x}; \boldsymbol\mu_2,\sigma_2^2 {\bf I})$  In order to do so, we have to compute the parameters of $p_{{\bf x}_2}({\bf x})$, $\boldsymbol\mu_2$ and $\sigma_2^2$, that minimize the following Kullback-Leibler divergence,

\begin{eqnarray}
D_{KL}(p_{{\bf x}_1}\| p_{{\bf x}_2}) &=&\int_{-\infty}^{\infty} p_{{\bf x}_1}({\bf x}) \ln{\frac{p_{{\bf x}_1}({\bf x})}{p_{{\bf x}_2}({\bf x})}}d{\bf x} \nonumber  \\
&= &  \frac{1}{2} \{ -M + {\sf Tr}(\sigma_2^{-2} {\bf I}\cdot \boldsymbol\Sigma_1^{-1})  \nonumber \\
  & &  + (\boldsymbol\mu_2 - \boldsymbol\mu_1 )^T \sigma^{-2}_2{\bf I} (\boldsymbol\mu_2 - \boldsymbol\mu_1 )  \nonumber \\
 & &   +  \ln \frac{{\sigma_2^2}^M}{\det\boldsymbol\Sigma_1} \}   
\label{eq:divergence}
\end{eqnarray}
Using symmetry arguments, we obtain 
\begin{equation}
\boldsymbol\mu_2^{*} =\arg \displaystyle{  \min_{\boldsymbol\mu_2}} \{ D_{KL}(p_{{\bf x}_1}\| p_{{\bf x}_2}) \} = \boldsymbol\mu_1 
\end{equation}
Then, \eqref{eq:divergence} gets simplified into 

\begin{eqnarray}
D_{KL}(p_{{\bf x}_1}\| p_{{\bf x}_2}) = \frac{1}{2}\lbrace { -M + {\sf Tr}(\frac{\boldsymbol\Sigma_1}{\sigma_2^{2}}) + \ln \frac{\sigma_2^{2M}}{\det\boldsymbol\Sigma_1}}\rbrace 
\end{eqnarray}
The variance $\sigma_2^2$ is computed in order to minimize this Kullback-Leibler divergence as

\begin{eqnarray}
\sigma_2^{2*} &=& \arg\min_{\sigma_2^2} D_{KL}(P_{x_1}\| P_{x_2}) \nonumber \\
 &=& \arg\min_{\sigma_2^2}\{ \sigma_2^{-2}{\sf Tr}\{\boldsymbol\Sigma_1\} + M\ln \sigma_2^{2} \}  
\end{eqnarray}
Deriving and making it equal zero leads to

\begin{equation}
\frac{\partial}{\partial \sigma_2^2} \left[ \frac{{\sf Tr}\{\boldsymbol\Sigma_1\}}{\sigma_2^{2}} + M \ln \sigma_2^{2} \right] = \left  {\frac{M}{\sigma_2^{2}}-\frac{{\sf Tr}\{\boldsymbol\Sigma_1\}}{(\sigma_2^{2})^2}}\right|_{\sigma_2^{2}=\sigma_2^{2*}}\left  =0 \right   
\nonumber
\end{equation}
Finally, since the divergence has a single extremum in $R_+$,
\begin{equation}
\sigma_2^{2*} = \frac{{\sf Tr}\{\boldsymbol\Sigma_1\}}{M} 
\end{equation}




\end{appendices}

\vfill
\clearpage

\bibliographystyle{IEEEbib}




ground_truth: This research paper proposed an approach based on approximating the posterior distribution with an isotropic Gaussian distribution.