Analysis of finite precision effects on an OBE algorithm

An analysis of error propagation in the OBE (optimal bounding ellipsoid) algorithm shows that roundoff errors made at some instant of time would result in bounded errors in the subsequent estimates. A modified forgetting factor determination formula that is less sensitive to rounding errors is proposed. It is shown through simulations that the OBE algorithm performs better than the RLS (recursive least squares) algorithm in small wordlength environments. The improvement is attributed to differences in the recursion of the P matrix and the smaller number of updates of the OBE algorithm. The performance of the factored implementations of the RLS and the OBE algorithms is comparable.<
>