Transcription of EECE 574 - Adaptive Control - Recursive …
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EECE 574 - Adaptive Control - Recursive …
eece 574 - Adaptive ControlRecursive Identification AlgorithmsGuy DumontDepartment of Electrical and Computer EngineeringUniversity of British ColumbiaJanuary 2012 Guy Dumont (UBC eece ) eece 574 - Adaptive ControlJanuary 20121 / 21 Recursive IdentificationThere are many situations when it is preferable to perform theidentification on-line, such as inadaptive methods need to be implemented in a Recursive fashion, parameter estimate at timetshould be computed as a function of theestimate at timet 1 and of the incoming information at instrumental extended least-squares and Recursive maximum Dumont (UBC eece ) eece 574 - Adaptive ControlJanuary 20122 / 21 Recursive Least-SquaresRecursive Least-Squares (RLS)We have seen that, withtobservations available, the least-squares estimate is (t) = [XT(t)X(t)] 1XT(t)Y(t)withYT(t) = [y(1) y(t)]X(t) = xT(1).
Recursive Least-Squares RLS Algorithm RLS and Kalman Filter There are some very strong connections between the recursive least-squares algorithm and the Kalman filter.
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