A robust recursive least squares algorithm

  • Authors:

  • M. M. Chansarkar;U. B. Desai

  • Affiliations:

  • Department of Electrical Engineering, Indian Institute of Technology, Bombay, India;Department of Electrical Engineering, Indian Institute of Technology, Bombay, India

  • Venue:
  • ICASSP'93 Proceedings of the 1993 IEEE international conference on Acoustics, speech, and signal processing: digital speech processing - Volume III
  • Year:
  • 1993

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Abstract

It is shown that for both the LMS and the RLS algorithms the normalized bias introduced due to perturbation may not remain bounded, implying possible divergence. A new algorithm is developed for which the normalized bias due to such perturbation in the data remains bounded. Robustness analysis and mean squared error analysis are also presented for this algorithm.