Fast QR algorithms based on backward prediction errors: A new implementation and its finite precision performance

DOI10.1007/S00034-004-7035-ZMaRDI QIDQ1429409zbMATH OpenOpenAlexFDO

Authors José Antonio jun. Apolinário, Marcio G. Siqueira, P. S. R. Diniz

Publication date 18 May 2004

Published in Circuits, Systems, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00034-004-7035-z

zbMATH Keywords

adaptive systemsbackward prediction errorsQR algorithmsrecursive least-squares problem

Mathematics Subject Classification ID

Adaptive control/observation systems (93C40) Least squares and related methods for stochastic control systems (93E24) Stochastic learning and adaptive control (93E35)

Review text

The solution of a recursive least-squares (RLS) problem is frequently performed using QR algorithms which are known in different versions. Fast QR algorithms can be subdivided according to the error type (a posteriori vs. a priori) as well as according to the type of the prediction error (forward vs. backward). In this way, four types of fast QR algorithms can be obtained according to this classification. This paper gives a systematic description of those algorithms which are based on the backward prediction errors. For each of the algorithms, two versions are discussed in detail. The computational complexity of the algorithms is compared, and their performance is illustrated using numerical simulations.

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• Multichannel fast QRD-RLS adaptive filtering: block-channel and sequential-channel algorithms based on updating backward prediction errors

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