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arXiv 1503.073382015-03-25math.OC

一种新的多重遗忘递推最小二乘方法

A New Recursive Least-Squares Method with Multiple Forgetting Schemes

Francesco Fraccaroli, Andrea Peruffo, Mattia Zorzi

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摘要：

本文提出了一种带多重遗忘的递归最小二乘方法来跟踪随时间变化的模型参数。我们的方法取决于经典的递归最小二乘遗忘计划作为一个正则化的最小二乘问题的重新制定。仿真研究表明了该方法的有效性。

英文摘要：

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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