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eess.SY2024
Adaptive Kalman Filtering Developed from Recursive Least Squares Forgetting Algorithms
Brian Lai, Dennis S. Bernstein
Recursive least squares (RLS) is derived as the recursive minimizer of the least-squares cost function. Moreover, it is well known that RLS is a special case of the Kalman filter.…
eess.SY2024
Convergence of Recursive Least Squares Based Input/Output System Identification with Model Order Mismatch
Brian Lai, Dennis S. Bernstein
Discrete-time input/output models, also called infinite impulse response (IIR) models or autoregressive moving average (ARMA) models, are useful for online identification as they c…