Analysis of initialization and numerical instability of fast RLS algorithms

Author

Kim, Ki-Ho ; Powers, Edward J.

Author_Institution

Texas Univ., Austin, TX, USA

fYear

1991

fDate

14-17 Apr 1991

Firstpage

1861

Abstract

The authors examine the sources of numerical instabilities in fast RLS (recursive least squares) algorithms as well as the statistical properties of the soft constrained initialization based on a necessary condition x_N(0)=0_N, for the fast RLS algorithms. It is pointed out that x_N(0)=0_N is essential in order to reduce the computational complexity as well as the error propagation effects. The structural sources of the fast RLS algorithms, which cause the numerical instability, are examined. The soft constrained initialization of the fast RLS algorithm based on X_N(0)=0_N is analyzed and interpreted

Keywords

least squares approximations; stability; statistical analysis; computational complexity; error propagation; fast RLS algorithms; filters; numerical instability; recursive least squares; soft constrained initialization; statistical properties; structural sources; Adaptive estimation; Algorithm design and analysis; Computational complexity; Cost function; Ear; Nonlinear filters; Power electronics; Resonance light scattering; Transversal filters; Vectors;

fLanguage

English

Publisher

ieee

Conference_Titel

Acoustics, Speech, and Signal Processing, 1991. ICASSP-91., 1991 International Conference on

Conference_Location

Toronto, Ont.

ISSN

1520-6149

Print_ISBN

0-7803-0003-3

Type

conf

DOI

10.1109/ICASSP.1991.150727

Filename

150727