A New Recursive Least Squares Method with Multiple Forgetting Schemes

We propose a new recursive least squares method drawing inspiration from machine learning ideas.
109 Downloads
Updated Sat, 04 Feb 2017 08:37:54 +0000

View License

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. For more details see the paper http://ieeexplore.ieee.org/document/7402726/?arnumber=7402726&tag=1

Cite As

Mattia Zorzi (2024). A New Recursive Least Squares Method with Multiple Forgetting Schemes (https://www.mathworks.com/matlabcentral/fileexchange/61439-a-new-recursive-least-squares-method-with-multiple-forgetting-schemes), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2014a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Statistics and Machine Learning Toolbox in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes
1.0.0.0