Exact initialization of the recursive least-squares algorithm

Exact initialization of the recursive least-squares algorithm

We present an initialization procedure for the recursive least‐squares (RLS) algorithm that has almost the same form as the RLS algorithm itself and which is exact in the sense that the so‐initialized RLS estimate coincides with the batch LS estimate as soon as the latter exists. Copyright © 2002 Jo...

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Veröffentlicht in:International journal of adaptive control and signal processing 2002-04, Vol.16 (3), p.219-230
Hauptverfasser: Stoica, Petre, Åhgren, Per
Format: Artikel
Sprache:eng
Schlagworte:
exact initialization
recursive least-squares
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Zusammenfassung:We present an initialization procedure for the recursive least‐squares (RLS) algorithm that has almost the same form as the RLS algorithm itself and which is exact in the sense that the so‐initialized RLS estimate coincides with the batch LS estimate as soon as the latter exists. Copyright © 2002 John Wiley & Sons, Ltd.
ISSN:0890-6327
1099-1115
DOI:10.1002/acs.681