A second-order recursive algorithm with applications to adaptive filtering and subspace tracking

作     者：Andersson, A Broman, H 

作者机构：Ericsson Microwave Syst AB Molndal Sweden Chalmers Univ Technol Dept Appl Elect S-41296 Goteborg Sweden 

出 版 物：《IEEE TRANSACTIONS ON SIGNAL PROCESSING》 (IEEE Trans Signal Process)

年 卷 期：1998年第46卷第6期

页      面：1720-1725页

核心收录：

学科分类：0808[工学-电气工程] 08[工学] 

基　　金：Swedish Research Council for Engineering Sciences  (TFR 92-359) 

主　　题：adaptive algorithms multistep algorithms parameter estimation recursive algorithms subspace tracking time-varying systems 

摘      要：A second-order recursive algorithm for adaptive signal processing is proposed, and a similar algorithm is derived for signal subspace tracking. It is shown that the algorithm encompasses both the RLS and the LMS algorithms as special cases. The computational complexity is the same as for the RLS algorithm, but some extra memory storage is required. The associated ordinary differential equation (ODE) for the autoregressive exogenous (ARX) case algorithm is proven to be globally exponentially stable. Furthermore, it is demonstrated that the proposed algorithm has a higher ability to track time-varying signals than has the RLS algorithm. The proposed algorithm especially handles those situations well where there is a simultaneous system change and decrease of signal power.