A New Recursive Least-Squares Method with Multiple Forgetting Schemes
Optimization and Control
2015-03-26 v1
Abstract
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.
Cite
@article{arxiv.1503.07338,
title = {A New Recursive Least-Squares Method with Multiple Forgetting Schemes},
author = {Francesco Fraccaroli and Andrea Peruffo and Mattia Zorzi},
journal= {arXiv preprint arXiv:1503.07338},
year = {2015}
}