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Exact initialization of the recursive least‐squares algorithm
Author(s) -
Stoica Petre,
Åhgren Per
Publication year - 2002
Publication title -
international journal of adaptive control and signal processing
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.73
H-Index - 66
eISSN - 1099-1115
pISSN - 0890-6327
DOI - 10.1002/acs.681
Subject(s) - initialization , recursive least squares filter , algorithm , least squares function approximation , mathematics , computer science , statistics , adaptive filter , estimator , programming language
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.