Regularization-Induced Bias and Consistency in Recursive Least Squares
Systems and Control
2021-09-01 v2 Systems and Control
Abstract
Within the context of recursive least squares (RLS) parameter estimation, the goal of the present paper is to study the effect of regularization-induced bias on the transient and asymptotic accuracy of the parameter estimates. We consider this question in three stages. First, we consider regression with random data, in which case persistency is guaranteed. Next, we apply RLS to finite-impulse-response (FIR) system identification and, finally, to infinite-impulse-response (IIR) system identification. For each case, we relate the condition number of the regressor matrix to the transient response and rate of convergence of the parameter estimates.
Cite
@article{arxiv.2106.08799,
title = {Regularization-Induced Bias and Consistency in Recursive Least Squares},
author = {Brian Lai and Syed Aseem Ul Islam and Dennis S. Bernstein},
journal= {arXiv preprint arXiv:2106.08799},
year = {2021}
}