MSE Convergence Characteristic over Tap Weight Updating of RBRLS Algorithm Filter

RBRLS 알고리즘의 탭 가중치 갱신에 따른 MSE 성능 분석

We extend the sue of the method of least square to develop a recursive algorithm for the design of adaptive transversal filters such that, given the least-square estimate of this vector of the filter at iteration n-1, we may compute the updated estimate of this vector at i(oration n upon the arrival of new data. The RLS algorithm may be viewed as a special case of the Kalman filter. Indeed this special relationship between the RLS algorithm and the Kalman filter is considered. We begin the development of the RLS algorithm by reviewing some basic relations that pertain to the method of least squares. Then, by exploiting a relation in matrix algebra known as the matrix inversion lemma, we develop the RLS algorithm. An important feature of the RLS algorithm is that it utilizes information contained in the input data, extending back to the instant of time when the algorithm is initiated. The resulting rate of convergence is therefore typically an order of magnitude faster than the simple LMS algorithm. This improvement in performance, however, Is achieved at the expensive of a large increase in computational complexity.