Convergence of a Fixed-Point Minimum Error Entropy Algorithm

The minimum error entropy (MEE) criterion is an important learning criterion in information theoretical learning (ITL). However, the MEE solution cannot be obtained in closed form even for a simple linear regression problem, and one has to search it, usually, in an iterative manner. The fixed-point iteration is an efficient way to solve the MEE solution. In this work, we study a fixed-point MEE algorithm for linear regression, and our focus is mainly on the convergence issue. We provide a sufficient condition (although a little loose) that guarantees the convergence of the fixed-point MEE algorithm. An illustrative example is also presented.