Title :
Analysis of finite precision effects on an OBE algorithm
Author :
Rao, Ashok K. ; Huang, Yih-Fang
Author_Institution :
Dept. of Electr. & Comput. Eng., Notre Dame Univ., IN, USA
Abstract :
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
Keywords :
filtering and prediction theory; P matrix; filtering theory; finite precision effects; optimal bounding ellipsoid; recursive least squares; roundoff errors; small wordlength; Adaptive filters; Algorithm design and analysis; Computer errors; Ellipsoids; Equations; Error analysis; Parameter estimation; Resonance light scattering; Stability analysis; Yield estimation;
Conference_Titel :
Acoustics, Speech, and Signal Processing, 1989. ICASSP-89., 1989 International Conference on
Conference_Location :
Glasgow
DOI :
10.1109/ICASSP.1989.266562
