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A new derivation for fast recursive least squares and Levinson algorithms by the conjugate direction method

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2 Author(s)
Nehorai, Arye ; Stanford University, Stanford, CA ; Morf, M.

This paper provides a new derivation and interpretation for the fast recursive least squares (RLS) algorithm of [1-3] and for the (block) Levinson algorithm as specialized conjugate direction methods (CDMs). The fast RLS time update is shown to be equivalent to a particular combination of two last steps in CDM recursions, giving a novel geometric description for this method. The results for the Levinson algorithm extend the ones of [9] on its relationship to the CDM.

Published in:

Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '83.  (Volume:8 )

Date of Conference:

Apr 1983

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