Numerical stability issues of the conventional recursive least squares algorithm
نویسندگان
چکیده
The continuous use of adaptive algorithms is strongly dependent on their behavior in finite-precision environments. We study the nonlinear round-off error accumulation system of the conventional RLS algorithm and we derive bounds for the relative precision of the computations and the accumulated round-off error, which guarantee the numerical stability of the finite-precision implementation of the algorithm. The bounds depend on the conditioning of the problem and the exponential forgetting factor. Simulations agree with our theoretical results.
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