Published 2009
| Published
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On the eigendistribution of the steady-state error covariance matrix for the extended RLS algorithm
- Creators
- Vakili, Ali
- Familier, Eythan
-
Hassibi, Babak
Abstract
In an earlier work, we used transform methods from the theory of random matrices to analytically compute the asymptotic eigendistribution of the error covariance matrix of the single-measurement RLS filter. When we have a multiplicity of measurements, as happens in extended RLS filtering, the analysis is much more complicated. In this paper we study the multiple measurement case and obtain a system of two coupled equations for the Stieltjes transform of the asymptotic eigendistribution. Numerical solutions of this system very well predict the actual asymptotic eigendistribution for systems with as low as n = 10 - 20 state dimensions.
Additional Information
© 2009 IEEE. This work was supported in part by the National Science Foundation through grant CCF-0729203, by the David and Lucille Packard Foundation, by the Office of Naval Research through a MURI under contract no. N00014- 08-1-0747, and by Caltech's Lee Center for Advanced Networking.Attached Files
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Vakili2009p81542009_Ieee_International_Conference_On_Acoustics_Speech_And_Signal_Processing_Vols_1-_8_Proceedings.pdf
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Additional details
- Eprint ID
- 18248
- Resolver ID
- CaltechAUTHORS:20100511-151933460
- CCF-0729203
- NSF
- David and Lucile Packard Foundation
- N00014-08-1-0747
- Office of Naval Research (ONR)
- Caltech Lee Center for Advanced Networking
- Created
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2010-05-16Created from EPrint's datestamp field
- Updated
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2021-11-08Created from EPrint's last_modified field