A revisit to block and recursive least squares for parameter estimation

Authors:
Jin Jiang;Youmin Zhang
Affiliations:
Department of Electrical and Computer Engineering, The University of Western Ontario, London, Ontario, Canada N6A 5B9;Department of Computer Science and Engineering, Aalborg University Esbjerg, Niels Bohrs Vej 8, 6700 Esbjerg, Denmark
Venue:
Computers and Electrical Engineering
Year:
2004

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Abstract

In this paper, the classical least squares (LS) and recursive least squares (RLS) for parameter estimation have been re-examined in the light of the present day computing capabilities. It has been demonstrated that for linear time-invariant systems, the performance of blockwise least squares (BLS) is always superior to that of RLS. In the context of parameter estimation for dynamic systems, the current computational capability of personal computers are more than adequate for BLS. However, for time-varying systems with abrupt parameter changes, standard blockwise LS may no longer be suitable due to its inefficiency in discarding ''old'' data. To deal with this limitation, a novel sliding window blockwise least squares approach with automatically adjustable window length triggered by a change detection scheme is proposed. Two types of sliding windows, rectangular and exponential, have been investigated. The performance of the proposed algorithm has been illustrated by comparing with the standard RLS and an exponentially weighted RLS (EWRLS) using two examples. The simulation results have conclusively shown that: (1) BLS has better performance than RLS; (2) the proposed variable-length sliding window blockwise least squares (VLSWBLS) algorithm can outperform RLS with forgetting factors; (3) the scheme has both good tracking ability for abrupt parameter changes and can ensure the high accuracy of parameter estimate at the steady-state; and (4) the computational burden of VLSWBLS is completely manageable with the current computer technology. Even though the idea presented here is straightforward, it has significant implications to virtually all areas of application where RLS schemes are used.