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.

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