Title :
A new derivation for fast recursive least squares and Levinson algorithms by the conjugate direction method
Author :
Nehorai, Arye ; Morf, Martin
Author_Institution :
Stanford University, Stanford, CA
Abstract :
This paper provides a new derivation and interpretation for the fast recursive least squares (RLS) algorithm of [1-3] and for the (block) Levinson algorithm as specialized conjugate direction methods (CDMs). The fast RLS time update is shown to be equivalent to a particular combination of two last steps in CDM recursions, giving a novel geometric description for this method. The results for the Levinson algorithm extend the ones of [9] on its relationship to the CDM.
Keywords :
Adaptive equalizers; Adaptive filters; Information systems; Laboratories; Least squares approximation; Least squares methods; Recursive estimation; Resonance light scattering; Speech processing; System identification;
Conference_Titel :
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '83.
DOI :
10.1109/ICASSP.1983.1172072
