Title :
A numerically stable fast RLS algorithm for adaptive filtering and prediction based on the UD factorization
Author :
Carini, Alberto ; Mumolo, Enzo
Author_Institution :
TELITAL S.p.A., Trieste, Italy
fDate :
8/1/1999 12:00:00 AM
Abstract :
The use of UD factorization in adaptive RLS algorithms is interesting for its numeric robustness and because no square-root operations at all are involved. We describe a square root free fast RLS algorithm based on the UD factorization of the autocorrelation matrix. Numerous finite precision simulations tend to indicate that this algorithm is numerically stable. The algorithm requires 𝒪(𝒩) operations, where 𝒩 is the linear filter order
Keywords :
adaptive filters; adaptive signal processing; correlation methods; filtering theory; least squares approximations; matrix decomposition; numerical stability; prediction theory; recursive estimation; UD factorization; adaptive RLS algorithms; adaptive filtering; adaptive prediction; autocorrelation matrix; finite precision simulations; linear filter order; numeric robustness; numerically stable fast RLS algorithm; square root free fast RLS algorithm; Adaptive filters; Adaptive signal processing; Autocorrelation; Filtering algorithms; Finite impulse response filter; Nonlinear filters; Numerical stability; Resonance light scattering; Robustness; Signal processing algorithms;
Journal_Title :
Signal Processing, IEEE Transactions on
