In a hearing aid with a signal processor for signal processing in accordance with selected values of a set of parameters Θ, a method of automatic adjustment of a set z of the signal processing parameters Θ, using a set of learning parameters θ of the signal processing parameters Θ is provided, wherein the method includes extracting signal features u of a signal in the hearing aid, recording a measure r of an adjustment e made by the user of the hearing aid, modifying z by the equation z=uθ+r, and absorbing the user adjustment e in θ by the equation θN=Φ(u,r)+θP, wherein θN is the new values of the learning parameter set θ, θP is the previous values of the learning parameter set θ, and Φ is a function of the signal features u and the recorded adjustment measure r.