Scribd Logo
Upload

Welcome to Scribd!

  • 1 - 1 H - 1 - 1 - 1 H - 1 - 1 - 1 - 1 - 1 - 1 - 1 - 1 H - 1 - 1 H - 1 - 1

    Uploaded by

    Boppana yaswanth
    6 views2 pages
    This document summarizes the derivation of the recursive least squares (RLS) algorithm. It starts with an equation for updating the correlation matrix and makes substitutions to relate it to the RLS problem. It then derives an expression for the gain vector k(n) and shows that it is equal to the correlation matrix multiplied by the input vector. It finally arrives at the key RLS update equation, where the weight vector at time n, w(n), is equal to the weight vector at time n-1 plus the error times the gain vector.

    Original Description:

    Original Title

    A

    Copyright

    © © All Rights Reserved

    Available Formats

    DOCX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    This document summarizes the derivation of the recursive least squares (RLS) algorithm. It starts with an equation for updating the correlation matrix and makes substitutions to relate it to the RLS problem. It then derives an expression for the gain vector k(n) and shows that it is equal to the correlation matrix multiplied by the input vector. It finally arrives at the key RLS update equation, where the weight vector at time n, w(n), is equal to the weight vector at time n-1 plus the error times the gain vector.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    6 views2 pages

    1 - 1 H - 1 - 1 - 1 H - 1 - 1 - 1 - 1 - 1 - 1 - 1 - 1 H - 1 - 1 H - 1 - 1

    Uploaded by

    Boppana yaswanth
    This document summarizes the derivation of the recursive least squares (RLS) algorithm. It starts with an equation for updating the correlation matrix and makes substitutions to relate it to the RLS problem. It then derives an expression for the gain vector k(n) and shows that it is equal to the correlation matrix multiplied by the input vector. It finally arrives at the key RLS update equation, where the weight vector at time n, w(n), is equal to the weight vector at time n-1 plus the error times the gain vector.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    CHAPTER-3

    A = B-1+CD-1CH
    (A)-1 =(B-1+CD-1CH)-1
    A-1 = (B-1)-1-(B-1)-1C[(D-1)-1+CH(B-1)-1C]CH(B-1)-1
    A-1=B-BC[D+CHBC]CHB -①
    From recursion for updating the value of the correlation of matrix of the tap input

    ᵩ(n)=λᵩ(n-1)+u(n)u (n)- H
    ②

    compare A=B-1+CD-1CH with equation②,

    ᵩ ᵩ
    we get, A= (n) , B-1=λ (n-1), C=u(n), D=1

    Now substitute A,B,C,D values in equation①,

    ᵩ (n) = λ ᵩ-1(n-1)-λ ᵩ (n-1)u(n)u (n)ᵩ (n-1)/1+λ u (n)ᵩ (n-1)u(n)


    -1 -1 -2 -1 H -1 -1 H -1

    Let us consider p(n)= ᵩ (n);


    -1

    P(n)= λ-1p(n-1)-λ-1P(n-1)u(n)λ-1uH(n)p(n-1)/1+λ-1uH(n)p(n-1)u(n)
    Let,
    k(n)=λ-1p(n-1)u(n)/1+λ-1uH(n)p(n-1)u(n)
    P(n)=λ-1p(n-1)-λ-1p(n-1)-λ-1uH(n)p(n-1)k(n)
    Now rearrange equation of k(n)equation;
    k(n)=λ-1p(n-1)u(n)/1+λ-1uH(n)p(n-1)u(n)
    k(n)=λ-1p(n-1)u(n)-λ-1k(n)uH(n)p(n-1)u(n)
    k(n)=p(n)u(n)

    ᵩ
    k(n)= -1(n)u(n)

    Gain vector is defined as the tap input vector u(n), transformed by the inverse of the
    correlation of matrix (n). ᵩ
    The normal equation for the recursive least square is, (tap weight vector at iteration)

    ŵ(n) = z(n) ᵩ (n)


    -1

    ŵ(n) =p(n)z(n)
    (cross correlation vector between the inputs and desired response)
    Z(n)=λ z(n-1)+u(n)d*(n)
    ŵ(n)=p(n)z(n)
    ŵ(n)=p(n)[λ z(n-1)+u(n)d*(n)]
    ŵ(n)= p(n)λ z(n-1)+u(n)d*(n)p(n)
    Now substitute p(n) value in first part,
    ŵ(n)=λ z(n-1)[λ-1p(n-1)-λ-1k(n)uH(n)p(n-1)u(n)]+p(n)u(n)d*(n)
    ŵ(n)=z(n-1)p(n-1)-z(n-1)k(n)uH(n)p(n-1)+p(n)u(n)d*(n)
    we know,
    ŵ(n)=z(n)p(n) (or) ŵ(n-1)=z(n-1)p(n-1)
    ŵ(n)=ŵ(n-1)-ŵ(n-1)k(n)uH(n)+p(n)u(n)d*(n)
    ŵ(n)=ŵ(n-1)-ŵ(n-1)k(n)uH(n)+k(n)d*(n)
    ŵ(n)=ŵ(n-1)+[ŵ(n-1)uH(n)-d*(n)]k(n)
    ŵ(n)=ŵ(n-1)+e*(n)k(n)

    You might also like