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

Author

Carini, Alberto ; Mumolo, Enzo

Author_Institution

TELITAL S.p.A., Trieste, Italy

Volume

47

Issue

8

fYear

1999

fDate

8/1/1999 12:00:00 AM

Firstpage

2309

Lastpage

2313

Abstract

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. 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

Keywords

adaptive filters; adaptive signal processing; correlation methods; filtering theory; least squares approximations; matrix decomposition; numerical stability; prediction theory; recursive estimation; UD factorization; adaptive RLS algorithms; adaptive filtering; adaptive prediction; autocorrelation matrix; finite precision simulations; linear filter order; numeric robustness; numerically stable fast RLS algorithm; square root free fast RLS algorithm; Adaptive filters; Adaptive signal processing; Autocorrelation; Filtering algorithms; Finite impulse response filter; Nonlinear filters; Numerical stability; Resonance light scattering; Robustness; Signal processing algorithms;

fLanguage

English

Journal_Title

Signal Processing, IEEE Transactions on

Publisher

ieee

ISSN

1053-587X

Type

jour

DOI

10.1109/78.774775

Filename

774775