Exponential convergence of recursive least squares with forgetting factor for multiple-output systems

Abstract

We extend results of the recursive-least-squares-with-forgetting-factor identifier for single-input-single-output systems to the multiple-output case by, under the assumption of persistence of excitation, deriving the corresponding minimized objective function and by showing exponential convergence of the estimation error.

arXiv comment3 pages plus references. Extension of scalar-output result to multiple outputs. One main theorem and proof