A numerically stable fast RLS algorithm for adaptive filtering and prediction based on the UD factorization

摘要

The use of UD factorization in adaptive RLS algorithms is interesting for its numeric robustness and because no square-root operations at all are involved. We describe a square root free fast RLS algorithm based on the UD factorization of the autocorrelation matrix. Numerous finite precision simulations tend to indicate that this algorithm is numerically stable. The algorithm requires /spl Oscr/(/spl Nscr/) operations, where /spl Nscr/ is the linear filter order.