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A New Recursive Least-Squares Method with Multiple Forgetting Schemes (1503.07338v1)
Published 25 Mar 2015 in math.OC
Abstract: We propose a recursive least-squares method with multiple forgetting schemes to track time-varying model parameters which change with different rates. Our approach hinges on the reformulation of the classic recursive least-squares with forgetting scheme as a regularized least squares problem. A simulation study shows the effectiveness of the proposed method.
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