Performance Analysis of Linear-Equality-Constrained Least-Squares Estimation

DOI10.1109/TSP.2015.2424199zbMATH Open1394.94044arXiv1408.6721OpenAlexW1978604122MaRDI QIDQ4580689FDOQ4580689

Reza Arablouei, Kutluyıl Doğançay

Publication date: 22 August 2018

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

Abstract: We analyze the performance of a linear-equality-constrained least-squares (CLS) algorithm and its relaxed version, called rCLS, that is obtained via the method of weighting. The rCLS algorithm solves an unconstrained least-squares problem that is augmented by incorporating a weighted form of the linear constraints. As a result, unlike the CLS algorithm, the rCLS algorithm is amenable to our approach to performance analysis presented here, which is akin to the energy-conservation-based methodology. Therefore, we initially inspect the convergence properties and evaluate the precision of estimation as well as satisfaction of the constraints for the rCLS algorithm in both mean and mean-square senses. Afterwards, we examine the performance of the CLS algorithm by evaluating the limiting performance of the rCLS algorithm as the relaxation parameter (weight) approaches infinity. Numerical examples verify the accuracy of the theoretical findings.

Full work available at URL: https://arxiv.org/abs/1408.6721

Mathematics Subject Classification ID

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

Cited In (2)

• Recursive parameter estimation algorithms and convergence for a class of nonlinear systems with colored noise
• Least-squares parameter estimation for state-space models with state equality constraints

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