Analysis of finite precision effects on a recursive set membership parameter estimation algorithm

Analysis of error propagation in an optimal bounding ellipsoid (OBE) algorithm is performed which shows that the errors in the estimates due to an initial perturbation are bounded. Simulation results demonstrate that the OBE algorithm can perform better than the conventional recursive least squares (RLS) in small wordlength environments. The analysis presented could also be applied for the finite-precision analysis of recursive weighted least squares algorithms.<
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