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arXiv · 1503.07338

A New Recursive Least-Squares Method with Multiple Forgetting Schemes

Francesco Fraccaroli·Andrea Peruffo·Mattia Zorzi
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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.

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Francesco Fraccaroli, Andrea Peruffo, Mattia Zorzi. 2015-03-25. A New Recursive Least-Squares Method with Multiple Forgetting Schemes. https://arxiv.org/abs/1503.07338

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