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Performance Analysi...
Performance Analysis of the Forgetting Factor RLS Algorithms
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- Guo, Lei (författare)
- Academica Sinica, China
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- Ljung, Lennart (författare)
- Linköpings universitet,Reglerteknik,Tekniska högskolan
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- Priouret, Pierre (författare)
- Université Pierre et Marie Curie, France
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(creator_code:org_t)
- Wiley, 1993
- 1993
- Engelska.
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Ingår i: International journal of adaptive control and signal processing (Print). - : Wiley. - 0890-6327 .- 1099-1115. ; 7:6, s. 525-237
- Relaterad länk:
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http://urn.kb.se/res...
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visa fler...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- An analysis is given of the performance of the standard forgetting factor recursive least squares (RLS) algorithm when used for tracking time-varying linear regression models. Three basic results are obtained: (1) the ‘P-matrix’ in the algorithm remains bounded if and only if the (time-varying) covariance matrix of the regressors is uniformly non-singular; (2) if so, the parameter tracking error covariance matrix is of the order O(μ + γ2/μ), where μ = 1 - λ, λ is the forgetting factor and γ is a quantity reflecting the speed of the parameter variations; (3) this covariance matrix can be arbitrarily well approximated (for small enough μ) by an expression that is easy to compute.
Ämnesord
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)
Nyckelord
- Adaptation
- Least squares
- Tracking
- Recursive identification
- Automatic control
- Reglerteknik
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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