RLS算法

贴一篇我在知乎的文章,这里面也阐述了最小二乘法与卡尔曼滤波的关系。两个算法一起说了,而且学习的话,比较轻量级。

https://zhuanlan.zhihu.com/p/67250500

一般最小二乘法

一般最小二乘法是给定若干观测值,计算一个最有可能的估计。
[ y ( 1 ) y ( 2 ) ⋮ y ( k ) ] = [ h ( 1 ) 1 h ( 1 ) 2 ⋯ h ( 1 ) n h ( 2 ) 1 h ( 2 ) 2 ⋯ h ( 2 ) n ⋮ ⋮ ⋱ ⋮ h ( k ) 1 h ( k ) 2 ⋯ h ( k ) n ] [ x 1 x 2 ⋮ x n ] \left [\begin{matrix}y(1)\\ y(2)\\ \vdots\\ y(k) \end{matrix}\right]=\left [\begin{matrix}h(1)_1&h(1)_2& \cdots&h(1)_n\\ h(2)_1&h(2)_2& \cdots&h(2)_n\\ \vdots&\vdots&\ddots&\vdots\\ h(k)_1&h(k)_2& \cdots&h(k)_n \end{matrix}\right]\left [\begin{matrix}x_1\\ x_2\\ \vdots\\ x_n \end{matrix}\right] y(1)y(2)y(k)=h(1)1h(2)1h(k)1h(1)2h(2)2h(k)2h(1)nh(2)nh(k)nx1x2xn
计算上述最有可能的 x x x取值,是使得代价函数:
J ( k ) = ( Y ( k ) − H ( k ) x ) T ( Y ( k ) − H ( k ) x ) = Y T ( k ) Y ( k ) − Y T ( k ) H ( k ) x − x T H T ( x ) Y ( k ) + x T H ( k ) T H ( k ) x J(k)=(Y(k)-H(k)x)^T(Y(k)-H(k)x)\\ =Y^T(k)Y(k)-Y^T(k)H(k)x-x^TH^T(x)Y(k)+x^TH(k)^TH(k)x J(k)=(Y(k)H(k)x)T(Y(k)H(k)x)=YT(k)Y(k)YT(k)H(k)xxTHT(x)Y(k)+xTH(k)TH(k)x
最小的 x x x的取值。令其为 x ^ ( k ) \hat x(k) x^(k),意思是 k k k时刻的估计值
上述中, H ( k ) H(k) H(k)代表 k k k时刻以及 k k k时刻以前的观测,即为:
H ( k ) = [ h ( 1 ) T ,   h ( 2 ) T , ⋯ h ( k ) T ] T H(k)=[h(1)^T,\ h(2)^T,\cdots h(k)^T]^T H(k)=[h(1)T, h(2)T,h(k)T]T
Y ( k ) Y(k) Y(k)类似:
Y ( k ) = [ y ( 1 ) , y ( 2 ) , ⋯ y ( k ) ] T Y(k)=[y(1),y(2),\cdots y(k)]^T Y(k)=[y(1),y(2),y(k)]T
J ( k ) J(k) J(k)最小时,有:
∂ J ( k ) ∂ x = − 2 Y T ( k ) H ( k ) + 2 x T H T ( k ) H ( k ) = 0 \frac{\partial J(k)}{\partial x}=-2Y^T(k)H(k)+2x^TH^T(k)H(k)=0 xJ(k)=2YT(k)H(k)+2xTHT(k)H(k)=0
此时, x = x ^ ( k ) x = \hat x(k) x=x^(k)
所以: x ^ ( k ) = ( H T ( k ) H ( k ) ) − H T ( k ) Y ( k ) \hat x(k)=(H^T(k)H(k))^-H^T(k)Y(k) x^(k)=(HT(k)H(k))HT(k)Y(k)
只有 H T ( k ) H ( k ) H^T(k)H(k) HT(k)H(k) 满秩时,才存在逆矩阵。
所以只有当 k ≥ n k\geq n kn时, H T ( k ) H ( k ) H^T(k)H(k) HT(k)H(k)才可能存在逆矩阵。

带权最小二乘法

有时候,测量有好有坏,带权的最小二乘法就比较有必要了。可以人为赋予每个数据的一个置信度 r ( k ) r(k) r(k),有时候也会令 r 2 ( k ) = 1 D ( v ( k ) ) = 1 σ k 2 r^2(k)=\frac{1}{D(v(k))}=\frac{1}{\sigma_k^2} r2(k)=D(v(k))1=σk21
其中, v ( k ) v(k) v(k) 是第 k k k测量的误差。区别于估计误差。上面的式子也比较好理解。测量的不确定性会削弱这次测量的置信度。如果利用测量误差的话,则不能存在 0 0 0误差的情况。改写 J ( k ) J(k) J(k)的形式:
J ( k ) = ∑ i = 1 k r 2 ( k ) ( y ( k ) − y ^ ( k ) ) 2 J(k)=\sum_{i=1}^kr^2(k)(y(k)-\hat y(k))^2 J(k)=i=1kr2(k)(y(k)y^(k))2
令: R ( k ) = [ r 2 ( 1 ) 0 ⋯ 0 0 r 2 ( 2 ) ⋯ 0 ⋮ ⋮ ⋱ ⋮ 0 0 ⋯ r 2 ( n ) ] R(k)=\left [\begin{matrix}r^2(1)&0& \cdots&0\\ 0&r^2(2)& \cdots&0\\ \vdots&\vdots&\ddots&\vdots\\ 0&0& \cdots&r^2(n) \end{matrix}\right] R(k)=r2(1)000r2(2)000r2(n)
那么: J ( k ) = ( Y ( k ) − H ( k ) x ^ ) T R ( Y ( k ) − H ( k ) x ^ ) = Y ( k ) T R ( k ) Y ( k ) − Y T ( k ) R ( k ) H ( k ) x ^ − x ^ T H ( k ) T R ( k ) Y ( k ) + x ^ T H T ( k ) R ( K ) H T ( k ) x ^ J(k)=\Big(Y(k)-H(k)\hat x\Big)^TR\Big(Y(k)-H(k)\hat x\Big)\\=Y(k)^TR(k)Y(k)-Y^T(k)R(k)H(k)\hat x-\hat x^TH(k)^TR(k)Y(k)+\hat x^TH^T(k)R(K)H^T(k)\hat x J(k)=(Y(k)H(k)x^)TR(Y(k)H(k)x^)=Y(k)TR(k)Y(k)YT(k)R(k)H(k)x^x^TH(k)TR(k)Y(k)+x^THT(k)R(K)HT(k)x^
令: ∂ J ( k ) ∂ x ^ = − 2 Y T ( k ) R ( k ) + 2 x T H T ( k ) R ( k ) H ( k ) = 0 \frac{\partial J(k)}{\partial\hat x}=-2Y^T(k)R(k)+2x^TH^T(k)R(k)H(k)=0 x^J(k)=2YT(k)R(k)+2xTHT(k)R(k)H(k)=0
则: x ^ ( k ) = ( H T ( k ) R ( k ) H ( k ) ) − H T ( k ) R ( k ) Y ( k ) \hat x(k)= (H^T(k)R(k)H(k))^-H^T(k)R(k)Y(k) x^(k)=(HT(k)R(k)H(k))HT(k)R(k)Y(k)
这样设置权重,其实是对噪声的归一化。

R L S RLS RLS 递推算法

有时候,我们不可能一次获得所有的观测结果,有时候随着观测结果的增加。从新修改参数使用最小二乘法计算,会很耗费时间。 R L S RLS RLS 就是等价于一般最小二乘法的递推计算方法。

这里介绍一个精巧的矩阵反演:
在这只要求 A , D A,D A,D可逆的情况下给定分块矩阵:
[ A B C D ] \left [\begin{matrix} A& B\\ C&D \end{matrix}\right] [ACBD]
令: E = D − C A − B ,    F = A − B D − C E =D-CA^-B,\ \ F = A-BD^-C E=DCAB,  F=ABDC
计算可得:
[ A B C D ] [ A − + A − B E − C A − − A − B E − − E − C A − E − ] = [ I O C A − + C A − B E − C A − − D E − C A − − C A − B E − + D E − ] = [ I O C A − + ( C A − B − D ) E − C A − ( − C A − B + D ) E − ] = [ I O O I ] \left [\begin{matrix} A&B\\ C&D \end{matrix}\right]\left [\begin{matrix} A^-+A^-BE^-CA^-&-A^-BE^-\\ -E^-CA^-&E^- \end{matrix}\right]\\=\left [\begin{matrix} I&O\\ CA^-+CA^-BE^-CA^--DE^-CA^-&-CA^-BE^-+DE^- \end{matrix}\right]\\=\left [\begin{matrix} I&O\\ CA^-+(CA^-B-D)E^-CA^-&(-CA^-B+D)E^- \end{matrix}\right]=\left [\begin{matrix} I&O\\ O&I \end{matrix}\right] [ACBD][A+ABECAECAABEE]=[ICA+CABECADECAOCABE+DE]=[ICA+(CABD)ECAO(CAB+D)E]=[IOOI]
另一个方向: [ A B C D ] [ F − − A − B E − − E − C A − E − ] = [ I O O I ] \left [\begin{matrix} A&B\\ C&D \end{matrix}\right]\left [\begin{matrix}F^-&-A^-BE^-\\-E^-CA^-&E^- \end{matrix}\right]=\left [\begin{matrix} I&O\\ O&I \end{matrix}\right] [ACBD][FECAABEE]=[IOOI]
这个方向可以自行计算。
这也就是说,当矩阵 A , D , E , F A,D,E,F A,D,E,F可逆时,: ( A + B D − C ) − = A − − A − B ( D + C A − B ) − C A − (A+BD^-C)^-=A^--A^-B(D+CA^-B)^-CA^- (A+BDC)=AAB(D+CAB)CA

P ( k ) = ( H T ( k ) H ( k ) ) − P(k)=(H^T(k)H(k))^- P(k)=(HT(k)H(k))
则有:
P ( k ) = ( H T ( k ) H ( k ) ) − = ( H T ( k − 1 ) H ( k − 1 ) + h T ( k ) h ( k ) ) − = ( P − ( k − 1 ) + h T ( k ) h ( k ) ) − = P ( k − 1 ) − P ( k − 1 ) h T ( k ) h ( k ) P ( k − 1 ) 1 + h ( k ) P ( k − 1 ) h T ( k ) P(k)=(H^T(k)H(k))^-\\=(H^T(k-1)H(k-1)+h^T(k)h(k))^-\\=(P^-(k-1)+h^T(k)h(k))^-\\=P(k-1)-\frac{P(k-1)h^T(k)h(k)P(k-1)}{1+h(k)P(k-1)h^T(k)} P(k)=(HT(k)H(k))=(HT(k1)H(k1)+hT(k)h(k))=(P(k1)+hT(k)h(k))=P(k1)1+h(k)P(k1)hT(k)P(k1)hT(k)h(k)P(k1)
又有: x ^ ( k ) = P ( k ) H T ( k ) Y ( k ) \hat x(k)=P(k)H^T(k)Y(k) x^(k)=P(k)HT(k)Y(k)
可得: P − ( k ) x ^ ( k ) = H T ( k ) Y ( k ) P^-(k)\hat x(k) = H^T(k)Y(k) P(k)x^(k)=HT(k)Y(k)
又因为: P ( k ) = ( P − ( k − 1 ) + h T ( k ) h ( k ) ) − P(k)=(P^-(k-1)+h^T(k)h(k))^- P(k)=(P(k1)+hT(k)h(k))
得: P − ( k − 1 ) = P − ( k ) − h T ( k ) h ( k ) P^-(k-1)=P^-(k)-h^T(k)h(k) P(k1)=P(k)hT(k)h(k)
所以: x ^ ( k ) = P ( k ) H T ( k ) Y ( k ) = P ( k ) ( P − ( k − 1 ) x ^ ( k − 1 ) + h T ( k ) y ( k ) ) = P ( k ) ( ( P − ( k ) − h T ( k ) h ( k ) ) x ^ ( k − 1 ) + h T ( k ) y ( k ) ) = x ^ ( k − 1 ) + P ( k ) h T ( k ) ( y ( k ) − h ( k ) x ^ ( k − 1 ) ) \hat x(k) = P(k)H^T(k)Y(k)\\=P(k)\Big(P^-(k-1)\hat x(k-1)+h^T(k)y(k)\Big)\\=P(k)\Big((P^-(k)-h^T(k)h(k))\hat x(k-1)+h^T(k)y(k)\Big)\\=\hat x(k-1)+P(k)h^T(k)\Big(y(k)-h(k)\hat x(k-1)\Big) x^(k)=P(k)HT(k)Y(k)=P(k)(P(k1)x^(k1)+hT(k)y(k))=P(k)((P(k)hT(k)h(k))x^(k1)+hT(k)y(k))=x^(k1)+P(k)hT(k)(y(k)h(k)x^(k1))
令: K ( k ) = P ( k − 1 ) h T ( k ) 1 + h ( k ) P ( k − 1 ) h T ( k ) = P ( k ) h T ( k ) K(k)=\frac{P(k-1)h^T(k)}{1+h(k)P(k-1)h^T(k)}=P(k)h^T(k) K(k)=1+h(k)P(k1)hT(k)P(k1)hT(k)=P(k)hT(k)
则:
P ( k ) = ( I − K ( k ) h ( k ) ) P ( k − 1 ) x ^ ( k ) = x ^ ( k − 1 ) + K ( k ) ( y ( k ) − h ( k ) x ^ ( k − 1 ) ) P(k)=(I-K(k)h(k))P(k-1)\\\hat x(k)=\hat x(k-1)+K(k)(y(k)-h(k)\hat x(k-1)) P(k)=(IK(k)h(k))P(k1)x^(k)=x^(k1)+K(k)(y(k)h(k)x^(k1))
如何确定 P ( 0 ) P(0) P(0) 呢?
显然: P ( k ) = ( ∑ i = 1 k h T ( i ) h ( i ) ) − ≈ ( ∑ i = 1 k h T ( i ) h ( i ) + 1 ∞ I ) − P(k)=\Big(\sum_{i=1}^kh^T(i)h(i)\Big)^- ≈ \Big(\sum_{i=1}^kh^T(i)h(i)+\frac{1}{∞ }I\Big)^- P(k)=(i=1khT(i)h(i))(i=1khT(i)h(i)+1I)
P ( 0 ) = ∞ I P(0) = ∞I P(0)=I即可。那么此时 y ( 0 ) = h T ( 0 ) = x ^ ( 0 ) = O n × 1 y(0)=h^T(0)=\hat x(0) = O_{n\times 1} y(0)=hT(0)=x^(0)=On×1
这样定义对代价函数影响忽略不计。

带权RLS 递推计算

当考虑带权递推时 x ^ ( k ) = ( H T ( k ) R ( k ) H ( k ) ) − H T ( k ) R ( k ) Y ( k ) \hat x(k)= \Big(H^T(k)R(k)H(k)\Big)^-H^T(k)R(k)Y(k) x^(k)=(HT(k)R(k)H(k))HT(k)R(k)Y(k)
一般 R L S RLS RLS递推的 P ( k ) P(k) P(k)重新定义为: P ( k ) = ( H T ( k ) R ( k ) H ( k ) ) − = ( H T ( k − 1 ) R ( k − 1 ) H ( k − 1 ) + h T ( k ) r ( k ) h ( k ) ) − P(k) = (H^T(k)R(k)H(k))^-=\Big(H^T(k-1)R(k-1)H(k-1)+h^T(k)r(k)h(k)\Big)^- P(k)=(HT(k)R(k)H(k))=(HT(k1)R(k1)H(k1)+hT(k)r(k)h(k))
令: γ ( k ) = 1 r ( k ) \gamma(k) = \frac{1}{r(k)} γ(k)=r(k)1
矩阵反演有:
P ( k ) = P ( k − 1 ) − P ( k − 1 ) h T ( k ) h ( k ) P ( k − 1 ) γ ( k ) − h ( k ) P ( k − 1 ) h T ( k ) P(k)=P(k-1)-\frac{P(k-1)h^T(k)h(k)P(k-1)}{\gamma(k)-h(k)P(k-1)h^T(k)} P(k)=P(k1)γ(k)h(k)P(k1)hT(k)P(k1)hT(k)h(k)P(k1)
由: x ^ ( k ) = P ( k ) H T ( k ) R ( k ) Y ( k ) \hat x(k)=P(k)H^T(k)R(k)Y(k) x^(k)=P(k)HT(k)R(k)Y(k)
有: P − ( k ) x ^ ( k ) = H T ( k ) R ( k ) Y ( k ) P^-(k)\hat x(k)=H^T(k)R(k)Y(k) P(k)x^(k)=HT(k)R(k)Y(k)
由: P ( k ) = ( P − ( k − 1 ) + h T ( k ) r ( k ) h ( k ) ) P(k)=\Big(P^-(k-1)+h^T(k)r(k)h(k)\Big) P(k)=(P(k1)+hT(k)r(k)h(k))
有: P − ( k − 1 ) = P − ( k ) − h T ( k ) r ( k ) h ( k ) P^-(k-1)=P^-(k)-h^T(k)r(k)h(k) P(k1)=P(k)hT(k)r(k)h(k)
则: x ^ ( k ) = P ( k ) H T ( k ) R ( k ) Y ( k ) = P ( k ) ( P − ( k − 1 ) x ^ ( k − 1 ) + h T ( k ) r ( k ) y ( k ) ) = P ( k ) ( ( P − ( k ) − h T ( k ) r ( k ) h ( k ) ) x ^ ( k − 1 ) + h T ( k ) r ( k ) y ( k ) ) = x ^ ( k − 1 ) + P ( k ) h T ( k ) r ( k ) ( y ( k ) − h ( k ) x ( k ) ) \hat x(k)=P(k)H^T(k)R(k)Y(k)\\=P(k)\Big(P^-(k-1)\hat x(k-1)+h^T(k)r(k)y(k)\Big)\\=P(k)\Big((P^-(k)-h^T(k)r(k)h(k))\hat x(k-1)+h^T(k)r(k)y(k)\Big)\\ =\hat x(k-1)+P(k)h^T(k)r(k)\Big(y(k)-h(k)x(k)\Big) x^(k)=P(k)HT(k)R(k)Y(k)=P(k)(P(k1)x^(k1)+hT(k)r(k)y(k))=P(k)((P(k)hT(k)r(k)h(k))x^(k1)+hT(k)r(k)y(k))=x^(k1)+P(k)hT(k)r(k)(y(k)h(k)x(k))
K ( k ) = P ( k ) h T ( k ) r ( k ) = P ( k − 1 ) h T ( k ) γ ( k ) − h ( k ) P ( k − 1 ) h T ( k ) K(k)=P(k)h^T(k)r(k)=\frac{P(k-1)h^T(k)}{\gamma(k)-h(k)P(k-1)h^T(k)} K(k)=P(k)hT(k)r(k)=γ(k)h(k)P(k1)hT(k)P(k1)hT(k)
则: P ( k ) = ( I − K ( k ) h ( k ) ) P ( k − 1 ) P(k)=\Big(I-{K(k)h(k)}\Big)P(k-1) P(k)=(IK(k)h(k))P(k1)
x ^ ( k ) = x ^ ( k − 1 ) + K ( k ) ( y ( k ) − h ( k ) x ^ ( k − 1 ) ) \hat x(k) = \hat x(k-1)+K(k)(y(k)-h(k)\hat x(k-1)) x^(k)=x^(k1)+K(k)(y(k)h(k)x^(k1))
同上,当没有很好的初始设置数值时,可以讲, P ( 0 ) = ∞ I P(0)=∞I P(0)=I x ^ ( 0 ) = h T ( 0 ) = O n × 1 \hat x(0) = h^T(0)=O_{n\times 1} x^(0)=hT(0)=On×1

带有遗忘的 R L S RLS RLS

对于带有遗忘版本的 R L S RLS RLS算法,将对近期数据更为敏感。
设置遗忘因子 λ ∈ ( 0 , 1 ] \lambda \in (0,1] λ(0,1]
λ = 1 \lambda = 1 λ=1时,不会遗忘。
每次更新,历史数据的权重会被整体缩小 λ \lambda λ
那么此时:
J ( k ) = λ J ( k − 1 ) + ( y ( k ) − h ( k ) x ^ ( k ) ) 2 J(k)=\lambda J(k-1) +(y(k)-h(k)\hat x(k))^2 J(k)=λJ(k1)+(y(k)h(k)x^(k))2
则:
J ( k ) = λ ∣ ∣ H ( k − 1 ) x ^ ( k ) − Y ( k − 1 ) ∣ ∣ 2 + ( y ( k ) − h ( k ) x ^ ( k ) ) 2 J(k)=\lambda ||H(k-1) \hat x(k)-Y(k-1)||^2+(y(k)-h(k)\hat x(k))^2 J(k)=λH(k1)x^(k)Y(k1)2+(y(k)h(k)x^(k))2
从新定义
H ( k ) = [ β H ( k − 1 ) ,   h ( k ) ] H(k)=[\beta H(k-1),\ h(k)] H(k)=[βH(k1), h(k)]
Y ( k ) = [ β Y ( k − 1 ) ,   y ( k ) ] Y(k)=[\beta Y(k-1),\ y(k)] Y(k)=[βY(k1), y(k)]
其中, β 2 = λ \beta^2= \lambda β2=λ
P ( k ) = ( H T ( k ) H ( k ) ) − = ( H T ( k − 1 ) H ( k − 1 ) λ + h T ( k ) h ( k ) ) − P(k)=(H^T(k)H(k))^-\\=(H^T(k-1)H(k-1)\lambda+h^T(k)h(k))^- P(k)=(HT(k)H(k))=(HT(k1)H(k1)λ+hT(k)h(k))
= ( P − ( k − 1 ) λ + h T ( k ) h ( k ) ) − =(P^-(k-1)\lambda+h^T(k)h(k))^- =(P(k1)λ+hT(k)h(k))
= P ( k − 1 ) 1 λ − 1 λ 2 P ( k − 1 ) h T ( k ) h ( k ) P ( k − 1 ) 1 + 1 λ h ( k ) P ( k − 1 ) h T ( k ) =P(k-1)\frac{1}{\lambda}-\frac{\frac{1}{\lambda^2}P(k-1)h^T(k)h(k)P(k-1)}{1+\frac{1}{\lambda}h(k)P(k-1)h^T(k)} =P(k1)λ11+λ1h(k)P(k1)hT(k)λ21P(k1)hT(k)h(k)P(k1)
= ( I − P ( k − 1 ) h T ( k ) h ( k ) λ + h ( k ) P ( k − 1 ) h T ( k ) ) P ( k − 1 ) 1 λ =\Big(I-\frac{P(k-1)h^T(k)h(k)}{\lambda+h(k)P(k-1)h^T(k)}\Big)P(k-1)\frac{1}{\lambda} =(Iλ+h(k)P(k1)hT(k)P(k1)hT(k)h(k))P(k1)λ1
另一边:
x ^ ( k ) = ( H T ( k ) H ( k ) ) − H T ( k ) Y ( k ) = P ( k ) H T ( k ) Y ( k ) \hat x(k)=(H^T(k)H(k))^-H^T(k)Y(k)\\ =P(k)H^T(k)Y(k) x^(k)=(HT(k)H(k))HT(k)Y(k)=P(k)HT(k)Y(k)
x ^ ( k ) = P ( k ) H T ( k ) Y ( k ) \hat x(k)=P(k)H^T(k)Y(k) x^(k)=P(k)HT(k)Y(k)
可得: P − ( k ) x ^ ( k ) = H T ( k ) Y ( k ) P^-(k)\hat x(k)=H^T(k)Y(k) P(k)x^(k)=HT(k)Y(k)
同时:
P ( k ) = ( P − ( k − 1 ) λ + h T ( k ) h ( k ) ) − P(k)=(P^-(k-1)\lambda +h^T(k)h(k))^- P(k)=(P(k1)λ+hT(k)h(k))
P − ( k − 1 ) = 1 λ ( P − ( k ) − h T ( k ) h ( k ) ) P^-(k-1)=\frac{1}{\lambda}(P^-(k)-h^T(k)h(k)) P(k1)=λ1(P(k)hT(k)h(k))
x ^ ( k ) = P ( k ) ( H T ( k − 1 ) Y ( k − 1 ) λ + h T ( k ) y ( k ) ) = P ( k ) ( P − ( k − 1 ) x ^ ( k − 1 ) λ + h T ( k ) y ( k ) ) = P ( k ) ( ( P − ( k ) − h T ( k ) h ( k ) ) x ^ ( k − 1 ) + h T ( k ) y ( k ) ) = x ^ ( k − 1 ) + P ( k ) h T ( k ) ( y ( k ) − h ( k ) x ^ ( k − 1 ) ) \hat x(k)=P(k)(H^T(k-1)Y(k-1)\lambda+h^T(k)y(k))\\ =P(k)(P^-(k-1)\hat x(k-1)\lambda +h^T(k)y(k))\\ =P(k)\Big(\big(P^-(k)-h^T(k)h(k)\big)\hat x(k-1)+h^T(k)y(k)\Big)\\ =\hat x(k-1)+P(k)h^T(k)\Big(y(k)-h(k)\hat x(k-1)\Big) x^(k)=P(k)(HT(k1)Y(k1)λ+hT(k)y(k))=P(k)(P(k1)x^(k1)λ+hT(k)y(k))=P(k)((P(k)hT(k)h(k))x^(k1)+hT(k)y(k))=x^(k1)+P(k)hT(k)(y(k)h(k)x^(k1))
令: K ( k ) = P ( k ) h T ( k ) K(k)=P(k)h^T(k) K(k)=P(k)hT(k)
那么:
x ^ ( k ) = x ^ ( k − 1 ) + K ( k ) ( y ( k ) − h ( k ) x ^ ( k − 1 ) ) \hat x(k)=\hat x(k-1)+K(k)\Big(y(k)-h(k)\hat x(k-1)\Big) x^(k)=x^(k1)+K(k)(y(k)h(k)x^(k1))
K ( k ) = P ( k ) h ( k ) = ( I − P ( k − 1 ) h T ( k ) h ( k ) λ + h ( k ) P ( k − 1 ) h T ( k ) ) P ( k − 1 ) 1 λ h T ( k ) = P ( k − 1 ) h T ( k ) λ + h ( k ) P ( k − 1 ) h T ( k ) K(k)=P(k)h(k)=\Big(I-\frac{P(k-1)h^T(k)h(k)}{\lambda+h(k)P(k-1)h^T(k)}\Big)P(k-1)\frac{1}{\lambda}h^T(k)\\ =\frac{P(k-1)h^T(k)}{\lambda +h(k)P(k-1)h^T(k)} K(k)=P(k)h(k)=(Iλ+h(k)P(k1)hT(k)P(k1)hT(k)h(k))P(k1)λ1hT(k)=λ+h(k)P(k1)hT(k)P(k1)hT(k)
P ( k ) = ( I − K ( k ) h ( k ) ) P ( k − 1 ) 1 λ P(k)=(I-K(k)h(k))P(k-1)\frac{1}{\lambda} P(k)=(IK(k)h(k))P(k1)λ1

总结

RLS 算法一个比较精巧的在线滤波算法。 还可以增加遗忘因子,让其对近期近期数据更为敏感,比如笔记平滑种可能需要这种形式的滤波器。

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