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The derivation of a diagonally loaded sample-matrix inversion (LSMI) algorithm on the busis of inverse matrix recursion (i.e. LSMI-IMR algorithm) is conducted by reconstructing the recursive formulation of covariance matrix. For the new algorithm, diagonal loading is by setting initial inverse matrix without any addition of computation. In addition, a corresponding improved recursive algorithm is presented, which is low computational complexity. This eliminates the complex multiplications of the scalar coefficient and updating matrix, resulting in significant computational savings. Simulations show that the LSMI-IMR algorithm is valid.
Date of Publication: March 2007