Title :
Sensitivity analysis of transversal RLS algorithms with correlated inputs
Author :
Ardalan, Sasan H. ; Adali, Tülay
Author_Institution :
Center for Commun. & Signal Porcess., North Carolina State Univ., Raleigh, NC, USA
Abstract :
The effects of input signal correlation on the performance on finite-precision RLS (recursive-least-squares) algorithms we presented. It is shown that one way to analyze finite-precision effects is indirectly through the study of the sensitivity of the RLS algorithm to perturbations in the filter coefficients. The authors show that the mean deviation of the optimum error power grows linearly with time and is the same for both correlated and uncorrelated input samples. However, the variance of the deviation from the optimum increases with signal correlation. Upper and lower bounds are derived in terms of the ratio of the maximum eigenvalue of the sample autocorrelation matrix to the signal variance. (The deviation increases as the signal dynamic range increases.) Simulations are presented to verify the theory. A stable finite-precision RLS algorithm is derived by modeling roundoff errors and incorporating their effects into the algorithm
Keywords :
correlation theory; error analysis; least squares approximations; roundoff errors; sensitivity analysis; signal processing; correlated inputs; filter coefficients perturbations; finite-precision effects; input signal correlation; lower bounds; maximum eigenvalue; mean deviation; modeling; optimum error power; recursive-least-squares; roundoff errors; sample autocorrelation matrix; sensitivity analysis; signal processing; signal variance; stable RLS algorithm; transversal RLS algorithms; upper bounds; Algorithm design and analysis; Autocorrelation; Eigenvalues and eigenfunctions; Filters; Least squares methods; Resonance light scattering; Roundoff errors; Sensitivity analysis; Signal processing; Signal processing algorithms;
Conference_Titel :
Circuits and Systems, 1989., IEEE International Symposium on
Conference_Location :
Portland, OR
DOI :
10.1109/ISCAS.1989.100703