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What is Recursive Least-Squares System Design about?

This document describes the recursive least squares method for system identification. It begins by explaining the difference between batch and recursive identification. It then derives the recursive least squares identification equations, which take the form of difference equations that can be solved recursively as new data arrives. The key equations developed are the recursive equations for the coefficient estimate vector θ, the covariance matrix P, and the gain vector L. An example is given to illustrate

Author

Samantha Márquez Serna

Language

EN