Recursive Total Least-Squares Algorithm Based on Inverse Power Method and Dichotomous Coordinate-Descent Iterations

DOI10.1109/TSP.2015.2405492zbMATH Open1394.94046arXiv1408.6141MaRDI QIDQ4580502FDOQ4580502

Authors: Reza Arablouei, Kutluyıl Doğançay, Stefan Werner 

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: We develop a recursive total least-squares (RTLS) algorithm for errors-in-variables system identification utilizing the inverse power method and the dichotomous coordinate-descent (DCD) iterations. The proposed algorithm, called DCD-RTLS, outperforms the previously-proposed RTLS algorithms, which are based on the line-search method, with reduced computational complexity. We perform a comprehensive analysis of the DCD-RTLS algorithm and show that it is asymptotically unbiased as well as being stable in the mean. We also find a lower bound for the forgetting factor that ensures mean-square stability of the algorithm and calculate the theoretical steady-state mean-square deviation (MSD). We verify the effectiveness of the proposed algorithm and the accuracy of the predicted steady-state MSD via simulations.

Full work available at URL: https://arxiv.org/abs/1408.6141

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (2)

• A bias-compensated fractional order normalized least mean square algorithm with noisy inputs
• Identification of dual‐rate sampled errors‐in‐variables systems with time delays

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