A New Recursive Least-Squares Method with Multiple Forgetting Schemes

2015/03/25 by Francesco Fraccaroli, Fraccaroli, Francesco, Andrea Peruffo +3
Computer Science · Engineering · Mathematics · #Advanced Adaptive Filtering Techniques #Control Systems and Identification #FOS: Mathematics #Neural Networks and Applications #Optimization and Control (math.OC) #math.OC

paper · pdf · doi:10.48550/arxiv.1503.07338

arxiv created 2015/03/25 · openalex publication_date 2015/03/25 · arxiv updated 2015/03/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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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