Quantization effects and stabilization of the fast-Kalman algorithm

DOI10.1155/S1110865701000014MaRDI QIDQ5957426zbMATH OpenFDO

Authors Constantin Papaodysseus, Constantin Alexiou, George Roussopoulos, Athanasios Panagopoulos

Publication date 24 July 2002

Published in EURASIP Journal on Applied Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/S1110865701000014

zbMATH Keywords

adaptive algorithmsfinite-precision errors in RLS algorithmsKalman filteringquantization error in fast-Kalman algorithmrecursive least squares filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Least squares and related methods for stochastic control systems (93E24)

Review text

Summary: The exact and actual cause of the failure of the fast-Kalman algorithm due to the generation and propagation of finite-precision or quantization error is presented. It is demonstrated that, out of all the formulas that constitute this fast Recursive Least Squares (RLS) scheme, only three generate an amount of finite-precision error that consistently propagates in the subsequent iterations and eventually makes the algorithm fail after a certain number of recursions. Moreover, it is shown that there is a very limited number of specific formulas that transmit the generated finite-precision error, while there is another class of formulas that lift or ``relax this error. In addition, a number of general propositions is presented that allow for the calculation of the exact number of erroneous digits with which the various quantities of the fast-Kalman scheme are computed, including the filter coefficients. On the basis of the previous analysis, a method of stabilization of the fast-Kalman algorithm is developed and is presented here, a method that allows for the fast-Kalman algorithm to follow very difficult signals such as music, speech, environmental noise, and other nonstationary ones. Finally, a general methodology is pointed out that allows for the development of new algorithms which, intrinsically, suffer far fewer finite-precision problems.

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(7)

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• Exact analysis of the finite precision error generation and propagation in the FAEST and the fast transversal algorithms: A general methodology for developing robust RLS schemes
• Fixed point implementation of fast Kalman predictors
• Stabilizing the fast Kalman algorithms
• On digital implementation of the fast kalman algorithms
• Fixed-point error analysis of the QR-recursive least square algorithm
• Protocol‐based extended Kalman filtering with quantization effects: The Round‐Robin case

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