A numerically stable fast RLS algorithm for adaptive filtering and prediction based on the UD factorization

作     者：Carini, A Mumolo, E 

作者机构：TELITAL Spa Trieste Italy Univ Trieste Dipartimento Elettrotecn Elettron & Informat Trieste Italy 

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

年 卷 期：1999年第47卷第8期

页      面：2309-2313页

核心收录：

学科分类：0808[工学-电气工程] 08[工学] 

主　　题：Resonance light scattering Filtering algorithms Adaptive filters Signal processing algorithms Autocorrelation Numerical stability Nonlinear filters Robustness Finite impulse response filter Adaptive signal processing 

摘      要：The use of UD factorization in adaptive RLS algorithms is interesting for its numeric robustness and because no square-root operations at all are involved. In this correspondence, we describe a square root free fast RLS algorithm based on the UD factorization of the autocorrelation matrix. Numerous finite precision simulations tend to indicate that this algorithm is numerically stable. The algorithm requires O(N) operations, where N is the linear filter order.