Recursive least squares filter

About: Recursive least squares filter is a research topic. Over the lifetime, 8907 publications have been published within this topic receiving 191933 citations.

Estimation of Space-Time Varying Parameters Using a Diffusion LMS Algorithm

Abstract: We study the problem of distributed adaptive estimation over networks where nodes cooperate to estimate physical parameters that can vary over both space and time domains. We use a set of basis functions to characterize the space-varying nature of the parameters and propose a diffusion least mean-squares (LMS) strategy to recover these parameters from successive time measurements. We analyze the stability and convergence of the proposed algorithm, and derive closed-form expressions to predict its learning behavior and steady-state performance in terms of mean-square error. We find that in the estimation of the space-varying parameters using distributed approaches, the covariance matrix of the regression data at each node becomes rank-deficient. Our analysis reveals that the proposed algorithm can overcome this difficulty to a large extent by benefiting from the network stochastic matrices that are used to combine exchanged information between nodes. We provide computer experiments to illustrate and support the theoretical findings.

Network Volume Anomaly Detection and Identification in Large-Scale Networks Based on Online Time-Structured Traffic Tensor Tracking

Abstract: This paper addresses network anomography, that is, the problem of inferring network-level anomalies from indirect link measurements. This problem is cast as a low-rank subspace tracking problem for normal flows under incomplete observations and an outlier detection problem for abnormal flows. Since traffic data is large-scale time-structured data accompanied with noise and outliers under partial observations, an efficient modeling method is essential. To this end, this paper proposes an online subspace tracking of a Hankelized time-structured traffic tensor for normal flows based on the Candecomp/PARAFAC decomposition exploiting the recursive least squares algorithm. We estimate abnormal flows as outlier sparse flows via sparsity maximization in the underlying under-constrained linear-inverse problem. A major advantage is that our algorithm estimates normal flows by low-dimensional matrices with time-directional features as well as the spatial correlation of multiple links without using the past observed measurements and the past model parameters. Extensive numerical evaluations show that the proposed algorithm achieves faster convergence per iteration of model approximation and better volume anomaly detection performance compared to state-of-the-art algorithms.

Localized, Adaptive Recursive Partial Least Squares Regression for Dynamic System Modeling

Abstract: A localized and adaptive recursive partial least squares algorithm (LARPLS), based on the local learning framework, is presented in this paper. The algorithm is used to address, among other issues in the recursive partial least-squares (RPLS) regression algorithm, the “forgetting factor” and sensitivity of variable scaling. Two levels of local adaptation, namely, (1) local model adaptation and (2) local time regions adaptation, and three adaptive strategies, (a) means and variances adaptation, (b) adaptive forgetting factor, and (c) adaptive extraction of local time regions, are provided using the LARPLS algorithm. Compared to RPLS, the LARPLS model is proven to be more adaptive in the face of process change, maintaining superior predictive performance, as demonstrated in the modeling of three different types of processes.

Doubly Selective Channel Estimation Using Exponential Basis Models and Subblock Tracking

Abstract: Three versions of a novel adaptive channel estimation approach, exploiting the over-sampled complex exponential basis expansion model (CE-BEM), is presented for doubly selective channels, where we track the BEM coefficients rather than the channel tap gains. Since the time-varying nature of the channel is well captured in the CE-BEM by the known exponential basis functions, the time variations of the (unknown) BEM coefficients are likely much slower than those of the channel, and thus more convenient to track. We propose a ?subblockwise? tracking scheme for the BEM coefficients using time-multiplexed (TM) periodically transmitted training symbols. Three adaptive algorithms, including a Kalman filtering scheme based on an assumed autoregressive (AR) model of the BEM coefficients, and two recursive least-squares (RLS) schemes not requiring any model for the BEM coefficients, are investigated for BEM coefficient tracking. Simulation examples illustrate the superior performance of our approach over several existing doubly selective channel estimators.

Hybrid filtered error LMS algorithm: another alternative to filtered-x LMS

Abstract: The filtered-error LMS (FELMS) algorithms are widely used in multi-input and multi-output control (MIMO) active noise control (ANC) systems as an alternative to the filtered-x LMS (FXLMS) algorithms to reduce the computational complexity and memory requirements. However, the available FELMS algorithms introduce significant delays in updating the adaptive filter coefficients that slow the convergence rate. In this paper, we introduce a novel algorithm called the hybrid filtered-error LMS algorithm (HFELMS) which, while still a form of the FELMS algorithm, allows users to have some freedom to construct the error filter that guarantees its convergence with a sufficiently small step size. Without increasing the computational complexity, the proposed algorithm can improve the control system performance in one of several ways: 1) increasing the convergence rate without extra computation cost; 2) reducing the remaining noise mean square error (MSE); or 3) shaping the excess noise power. Simulation results show the effectiveness of the proposed method