Recursive least squares with linear constraints

DOI10.4310/CIS.2007.V7.N3.A5MaRDI QIDQ936476zbMATH OpenFDO

Authors B. E. Eshmatov

Publication date 14 August 2008

Published in Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.cis/1201531976

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Parametric inference under constraints (62F30) Linear equations (linear algebraic aspects) (15A06) Iterative numerical methods for linear systems (65F10)

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• Solving large linear least squares problems with linear equality constraints
• Least-squares parameter estimation for state-space models with state equality constraints
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• Compensation of the RLS algorithm for output nonlinearities
• RLS parameter convergence with overparameterized models
• Variants of the Greville Formula with Applications to Exact Recursive Least Squares
• Outlier accommodation in moving-horizon state estimation: a risk-averse performance-specified approach
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