A New Recursive Least Squares Method with Multiple Forgetting Schemes

Version 1.0.0.0 (11,4 KB) von Mattia Zorzi
We propose a new recursive least squares method drawing inspiration from machine learning ideas.
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We propose a recursive least squares method with multiple forgetting schemes to track time-varying model parameters which change with different rates. Our approach hinges on the reformulation of the classic recursive least squares with forgetting scheme as a regularized least squares problem. A simulation study shows the effectiveness of the proposed method. For more details see the paper http://ieeexplore.ieee.org/document/7402726/?arnumber=7402726&tag=1

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Mattia Zorzi (2024). A New Recursive Least Squares Method with Multiple Forgetting Schemes (https://www.mathworks.com/matlabcentral/fileexchange/61439-a-new-recursive-least-squares-method-with-multiple-forgetting-schemes), MATLAB Central File Exchange. Abgerufen .

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Version Veröffentlicht Versionshinweise
1.0.0.0