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Regularized fast recursive least squares algorithms for adaptive filtering

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1 Author(s)
Houacine, A. ; Inst. of Electron., Univ. of Sci. & Technol., Algiers, Algeria

Fast recursive least squares (FRLS) algorithms are developed by using factorization techniques which represent an alternative way to the geometrical projections approach or the matrix-partitioning-based derivations. The estimation problem is formulated within a regularization approach, and priors are used to achieve a regularized solution which presents better numerical stability properties than the conventional least squares one. The numerical complexity of the presented algorithms is explicitly related to the displacement rank of the a priori covariance matrix of the solution. It then varies between O(5m) and that of the slow RLS algorithms to update the Kalman gain vector, m being the order of the solution. An important advantage of the algorithms is that they admit a unified formulation such that the same equations may equally treat the prewindowed and the covariance cases independently from the used priors. The difference lies only in the involved numerical complexity, which is modified through a change of the dimensions of the intervening variables. Simulation results are given to illustrate the performances of these algorithms

Published in:

Signal Processing, IEEE Transactions on  (Volume:39 ,  Issue: 4 )

Date of Publication:

Apr 1991

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