RLS Algorithm Summary
The RLS algorithm for a p-th order RLS filter can be summarized as
| Parameters: | filter order |
| forgetting factor | |
| value to initialize | |
| Initialization: | , |
| , | |
| where is the identity matrix of rank | |
| Computation: | For |
|
|
|
| . |
![\mathbf{x}(n) =
\left[
\begin{matrix}
x(n)\\
x(n-1)\\
\vdots\\
x(n-p)
\end{matrix}
\right]](http://upload.wikimedia.org/math/b/9/9/b999212000ae69557d9b1854829f39b6.png)
Note that the recursion for follows a Algebraic Riccati equation and thus draws parallels to the Kalman filter.
Read more about this topic: Recursive Least Squares Filter
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