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前言
RLS算法需要的运算量比较大,在实际应用中会受到一些限制,因此出现了许多快速算法。比较常见的两种算法为阶递归自适应滤波器(Lattice-Based RLS)和快速横向滤波器(Fast Transversal RLS)。所有的快速算法都探索了信息数据的一些结构特性,以实现较低的计算复杂度。快速算法的模式是相似的,因为前向和后向预测滤波器是快速算法的基本组成部分。
1 阶递归自适应滤波器
对于一个预测过程,前向后验预测误差为
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\varepsilon_f(k,i+1)=x(k)-\bm{w}^T_f(k,i+1)\bm{x}(k-1,i+1)
εf(k,i+1)=x(k)−wfT(k,i+1)x(k−1,i+1)式中
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\bm{w}^T_f(k,i+1)=[w_{f0}(k),w_{f1}(k),w_{f2}(k),...w_{fi}(k)]^T
wfT(k,i+1)=[wf0(k),wf1(k),wf2(k),...wfi(k)]T
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\bm{x}(k-1,i+1)=[x(k-1),x(k-2),...x(k-i-1)]^T
x(k−1,i+1)=[x(k−1),x(k−2),...x(k−i−1)]T
定义加权误差向量
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\bm{\varepsilon}_f(k,i+1)=\widehat{\bm{x}}(k)-\bm{X}^T(k-1,i+1)\bm{w}_f(k,i+1)
εf(k,i+1)=x
(k)−XT(k−1,i+1)wf(k,i+1)
式中
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\widehat{\bm{x}}(k)=[x(k),\lambda^{1/2}x(k-1), ,\lambda x(k-2),...,\lambda^{k/2} x(0)]
x
(k)=[x(k),λ1/2x(k−1),,λx(k−2),...,λk/2x(0)]
写为矩阵形式有
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\bm{\varepsilon}_f(k,i+1)=\bm{X}^T(k,i+2)\begin{bmatrix} 1 \\ -\bm{w}_f(k,i+1) \\ \end{bmatrix}
εf(k,i+1)=XT(k,i+2)[1−wf(k,i+1)]
均方误差为
ξ
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\xi^d_f(k,i+1)=\bm{\varepsilon}_f^T(k,i+1)\bm{\varepsilon}_f(k,i+1)
ξfd(k,i+1)=εfT(k,i+1)εf(k,i+1)
=
∑
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=\sum_{l=0}^k \lambda^{k-l}[x(l)-\bm{x}^T(l-1,i+1)\bm{w}_f(k,i+1)]^2
=l=0∑kλk−l[x(l)−xT(l−1,i+1)wf(k,i+1)]2
令导数为0可以得到
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\bm{w}_f(k,i+1)=\left[ \sum_{l=0}^k \lambda^{k-l}\bm{x}(l-1,i+1)\bm{x}^T(l-1,i+1) \right]^{-1}\sum_{l=0}^k \lambda^{k-l} \bm{x}(l-1,i+1)x(l)
wf(k,i+1)=[l=0∑kλk−lx(l−1,i+1)xT(l−1,i+1)]−1l=0∑kλk−lx(l−1,i+1)x(l)
=
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=[\bm{X}(k-1,i+1)\bm{X}^T(k-1,i+1)]^{-1}\bm{X}(k-1,i+1)\widehat{\bm{x}}(k)
=[X(k−1,i+1)XT(k−1,i+1)]−1X(k−1,i+1)x
(k)
=
R
D
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p
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=\bm{R}^{-1}_{Df}(k-1,i+1)\bm{p}_{Df}(k,i+1)
=RDf−1(k−1,i+1)pDf(k,i+1)
将最佳权系数代入可以得到最小均方误差
ξ
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\xi^d_{fmin}(k,i+1)=\sum_{l=0}^k\lambda^{k-l}x(l)[x(l)-\bm{x}^T(l-1,i+1) \bm{w}_f(k,i+1)]
ξfmind(k,i+1)=l=0∑kλk−lx(l)[x(l)−xT(l−1,i+1)wf(k,i+1)]
=
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=\sum_{l=0}^k\lambda^{k-l}x^2(l)-\bm{p}_{Df}^T(k,i+1)\bm{w}_f(k,i+1)
=l=0∑kλk−lx2(l)−pDfT(k,i+1)wf(k,i+1)
=
σ
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=\sigma^2_f(k)-\bm{w}_f(k,i+1)^T\bm{p}_{Df}(k,i+1)
=σf2(k)−wf(k,i+1)TpDf(k,i+1)
将上面两式组合可以得到
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\bm{R}_D(k,i+2)=\begin{bmatrix} \sigma^2_f(k)&\bm{p}^T_{Df}(k,i+1) \\ \bm{p}^T_{Df}(k,i+1) & \bm{R}_{Df}(k-1,i+1) \end{bmatrix}
RD(k,i+2)=[σf2(k)pDfT(k,i+1)pDfT(k,i+1)RDf(k−1,i+1)]
R
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\bm{R}_D(k,i+2)\begin{bmatrix} 1 \\ -\bm{w}_{f}(k,i+1) \end{bmatrix}=\begin{bmatrix} \xi^d_{fmin}(k,i+1) \\ 0 \end{bmatrix}
RD(k,i+2)[1−wf(k,i+1)]=[ξfmind(k,i+1)0]
同理可得,后向预测模型为
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\bm{R}_D(k,i+2)\begin{bmatrix} -\bm{w}_{b}(k,i+1) \\ 1 \end{bmatrix}=\begin{bmatrix} 0 \\ \xi^d_{b_{min}}(k,i+1) \end{bmatrix}
RD(k,i+2)[−wb(k,i+1)1]=[0ξbmind(k,i+1)]
引入新变量
δ
\delta
δ
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\bm{R}_D(k,i+2)\begin{bmatrix} 1\\ -\bm{w}_{f}(k,i) \\ 0 \end{bmatrix}=\begin{bmatrix} \xi^d_{fmin}(k,i)\\ 0\\ \delta_f(k,i)\\ \end{bmatrix}
RD(k,i+2)⎣⎡1−wf(k,i)0⎦⎤=⎣⎡ξfmind(k,i)0δf(k,i)⎦⎤
式中
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ε
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\delta_f(k,i)=\sum_{l=0}^k \lambda^{k-l}\varepsilon_f(l,i)x(l-i-1)
δf(k,i)=l=0∑kλk−lεf(l,i)x(l−i−1)
同样的有
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\bm{R}_D(k,i+2)\begin{bmatrix} 0\\ -\bm{w}_{b}(k-1,i) \\ 1 \end{bmatrix}=\begin{bmatrix} \delta_b(k,i)\\ 0\\ \xi^d_{bmin}(k,i)\\ \end{bmatrix}
RD(k,i+2)⎣⎡0−wb(k−1,i)1⎦⎤=⎣⎡δb(k,i)0ξbmind(k,i)⎦⎤
式中
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\delta_b(k,i)=\sum_{l=0}^k \lambda^{k-l}\varepsilon_b(l-1,i)x(l)
δb(k,i)=l=0∑kλk−lεb(l−1,i)x(l)
后验误差迭代为
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\xi_{b_{min}}^d(k,i+1)=\xi_{b_{min}}^d(k-1,i)-\frac{\delta^2(k,i)}{\xi_{f_{min}}^d(k,i)}
ξbmind(k,i+1)=ξbmind(k−1,i)−ξfmind(k,i)δ2(k,i)
后验估计权系数迭代为
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\bm{w}_b(k,i+1)=\begin{bmatrix}0\\\bm{w}_{b}(k-1,i) \end{bmatrix}-\frac{\delta(k,i)}{\xi_{f_{min}}^d(k,i)}\begin{bmatrix}-1\\\bm{w}_{f}(k,i) \end{bmatrix}
wb(k,i+1)=[0wb(k−1,i)]−ξfmind(k,i)δ(k,i)[−1wf(k,i)]
同样的,前验误差迭代为
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\xi_{f_{min}}^d(k,i+1)=\xi_{f_{min}}^d(k,i)-\frac{\delta^2(k,i)}{\xi_{b_{min}}^d(k-1,i)}
ξfmind(k,i+1)=ξfmind(k,i)−ξbmind(k−1,i)δ2(k,i)
前验估计权系数迭代为
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\bm{w}_f(k,i+1)=\begin{bmatrix} \bm{w}_{f}(k,i) \\ 0 \end{bmatrix}-\frac{\delta(k,i)}{\xi_{b_{min}}^d(k-1,i)}\begin{bmatrix}\bm{w}_{b}(k-1,i) \\-1\end{bmatrix}
wf(k,i+1)=[wf(k,i)0]−ξbmind(k−1,i)δ(k,i)[wb(k−1,i)−1]
后验前向误差为
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ε
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\varepsilon_f(k,i+1)=\varepsilon_f(k,i)-\kappa_f(k,i)\varepsilon_b(k-1,i)
εf(k,i+1)=εf(k,i)−κf(k,i)εb(k−1,i)
式中
κ
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\kappa_f(k,i)
κf(k,i)称为前向反射系数
κ
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\kappa_f(k,i)=\frac{\delta(k,i)}{\xi_{b_{min}}^d(k-1,i)}
κf(k,i)=ξbmind(k−1,i)δ(k,i)
后验后向预测误差为
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−
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ε
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\varepsilon_b(k,i+1)=\varepsilon_b(k-1,i)-\kappa_b(k,i)\varepsilon_f(k,i)
εb(k,i+1)=εb(k−1,i)−κb(k,i)εf(k,i)
式中
κ
b
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k
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\kappa_b(k,i)
κb(k,i)称为后向反射系数
κ
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δ
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\kappa_b(k,i)=\frac{\delta(k,i)}{\xi_{f_{min}}^d(k,i)}
κb(k,i)=ξfmind(k,i)δ(k,i)
在初始阶段
ε
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\varepsilon_b(k,0)=\varepsilon_f(k,0)=x(k)
εb(k,0)=εf(k,0)=x(k)
ξ
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m
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=
ξ
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m
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=
x
2
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+
λ
ξ
f
m
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\xi_{f_{min}}^d(k,0)=\xi_{b_{min}}^d(k,0)=x^2(k)+\lambda\xi_{f_{min}}^d(k-1,0)
ξfmind(k,0)=ξbmind(k,0)=x2(k)+λξfmind(k−1,0)
δ
\delta
δ的迭代为
δ
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=
λ
δ
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+
ε
b
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ε
f
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γ
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\delta(k,i)=\lambda\delta(k-1,i)+\frac{\varepsilon_b(k-1,i)\varepsilon_f(k,i)}{\gamma(k-1,i)}
δ(k,i)=λδ(k−1,i)+γ(k−1,i)εb(k−1,i)εf(k,i)
式中
γ
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1
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=
γ
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−
ε
b
2
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ξ
b
m
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d
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\gamma(k,i+1)=\gamma(k,i)-\frac{\varepsilon^2_b(k,i)}{\xi^d_{b_{min}}(k,i)}
γ(k,i+1)=γ(k,i)−ξbmind(k,i)εb2(k,i)
加权均方误差为
ξ
d
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k
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+
1
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=
∑
l
=
0
k
λ
k
−
l
ε
2
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l
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i
+
1
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\xi^d(k,i+1)=\sum^k_{l=0}\lambda^{k-l}\varepsilon^2(l,i+1)
ξd(k,i+1)=l=0∑kλk−lε2(l,i+1)
对应的
δ
D
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=
λ
δ
D
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1
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i
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+
ε
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ε
b
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1
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γ
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i
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\delta_D(k,i)=\lambda\delta_D(k-1,i)+\frac{\varepsilon(k,i)\varepsilon_b(k,i+1)}{\gamma(k,i)}
δD(k,i)=λδD(k−1,i)+γ(k,i)ε(k,i)εb(k,i+1)
前向乘子为
v
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=
δ
D
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ξ
b
m
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d
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v_i(k)=\frac{\delta_D(k,i)}{\xi^d_{b_{min}}(k,i)}
vi(k)=ξbmind(k,i)δD(k,i)
后验输出误差为
ε
(
k
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i
+
1
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=
ε
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k
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i
)
−
v
i
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k
)
ε
b
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k
,
i
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\varepsilon(k,i+1)=\varepsilon(k,i)-v_i(k)\varepsilon_b(k,i)
ε(k,i+1)=ε(k,i)−vi(k)εb(k,i)
由此获得阶递归RLS算法的全过程。
2 快速横向滤波器
后验前向预测误差为
ε
f
(
k
,
N
)
=
x
(
k
)
−
w
f
T
(
k
,
N
)
x
(
k
−
1
,
N
)
\varepsilon_f(k,N)=x(k)-\bm{w}^T_f(k,N)\bm{x}(k-1,N)
εf(k,N)=x(k)−wfT(k,N)x(k−1,N)
=
x
T
(
k
,
N
+
1
)
[
1
−
w
f
(
k
,
N
)
]
=\bm{x}^T(k,N+1)\begin{bmatrix}1\\-\bm{w}_f(k,N)\\\end{bmatrix}
=xT(k,N+1)[1−wf(k,N)]
后验与先验前向预测误差之间的关系为
e
f
(
k
,
N
)
=
ε
f
(
k
,
N
)
γ
(
k
−
1
,
N
)
e_f(k,N)=\frac{\varepsilon_f(k,N)}{\gamma(k-1,N)}
ef(k,N)=γ(k−1,N)εf(k,N)
式中
γ
(
k
,
N
+
1
)
=
λ
ξ
f
m
i
n
d
(
k
−
1
,
N
)
ξ
f
m
i
n
d
(
k
,
N
)
γ
(
k
−
1
,
N
)
\gamma(k,N+1)=\frac{\lambda\xi^d_{f{min}}(k-1,N)}{\xi^d_{f{min}}(k,N)}\gamma(k-1,N)
γ(k,N+1)=ξfmind(k,N)λξfmind(k−1,N)γ(k−1,N)
前向最小加权均方误差为
ξ
f
m
i
n
d
(
k
,
N
)
=
λ
ξ
f
m
i
n
d
(
k
−
1
,
N
)
+
e
f
(
k
,
N
)
ε
f
(
k
,
N
)
\xi^d_{f_{min}}(k,N)=\lambda\xi^d_{f_{min}}(k-1,N)+e_f(k,N)\varepsilon_f(k,N)
ξfmind(k,N)=λξfmind(k−1,N)+ef(k,N)εf(k,N)
前向预测权系数迭代
w
f
(
k
,
N
)
=
w
f
(
k
−
1
,
N
)
+
ϕ
(
k
−
1
,
N
)
e
f
(
k
,
N
)
\bm{w}_f(k,N)=\bm{w}_f(k-1,N)+\phi(k-1,N)e_f(k,N)
wf(k,N)=wf(k−1,N)+ϕ(k−1,N)ef(k,N)
式中
ϕ
(
k
,
N
+
1
)
=
[
0
ϕ
(
k
−
1
,
N
)
]
+
1
ξ
f
m
i
n
d
(
k
,
N
)
[
1
w
f
(
k
,
N
)
]
ε
f
(
k
,
N
)
\phi(k,N+1)=\begin{bmatrix}0\\\phi(k-1,N)\end{bmatrix}+\frac{1}{\xi^d_{f_{min}}(k,N)}\begin{bmatrix}1\\\bm{w}_f(k,N)\\\end{bmatrix}\varepsilon_f(k,N)
ϕ(k,N+1)=[0ϕ(k−1,N)]+ξfmind(k,N)1[1wf(k,N)]εf(k,N)
利用
ϕ
^
(
k
,
N
+
1
)
\widehat\phi(k,N+1)
ϕ
(k,N+1)代替
ϕ
(
k
,
N
+
1
)
\phi(k,N+1)
ϕ(k,N+1)有
ϕ
^
(
k
,
N
+
1
)
=
[
0
ϕ
^
(
k
−
1
,
N
)
]
+
1
λ
ξ
f
m
i
n
d
(
k
−
1
,
N
)
[
1
−
w
f
(
k
−
1
,
N
)
]
e
f
(
k
,
N
)
\widehat\phi(k,N+1)=\begin{bmatrix}0\\\widehat\phi(k-1,N)\end{bmatrix}+\frac{1}{\lambda\xi^d_{f_{min}}(k-1,N)}\begin{bmatrix}1\\-\bm{w}_f(k-1,N)\\\end{bmatrix}e_f(k,N)
ϕ
(k,N+1)=[0ϕ
(k−1,N)]+λξfmind(k−1,N)1[1−wf(k−1,N)]ef(k,N)
则前向预测权系数迭代可以改为
w
f
(
k
,
N
)
=
w
f
(
k
−
1
,
N
)
+
ϕ
^
(
k
−
1
,
N
)
ε
f
(
k
,
N
)
\bm{w}_f(k,N)=\bm{w}_f(k-1,N)+\widehat\phi(k-1,N)\varepsilon_f(k,N)
wf(k,N)=wf(k−1,N)+ϕ
(k−1,N)εf(k,N)
后验与先验预测误差之间的关系为
ε
b
(
k
,
N
)
=
e
b
(
k
,
N
)
γ
(
k
,
N
)
\varepsilon_b(k,N)=e_b(k,N)\gamma(k,N)
εb(k,N)=eb(k,N)γ(k,N)
转换因子
γ
(
k
,
N
+
1
)
γ
(
k
,
N
)
=
λ
ξ
b
m
i
n
d
(
k
−
1
,
N
)
ξ
b
m
i
n
d
(
k
,
N
)
\frac{\gamma(k,N+1)}{\gamma(k,N)}=\frac{\lambda\xi^d_{b_{min}}(k-1,N)}{\xi^d_{b_{min}}(k,N)}
γ(k,N)γ(k,N+1)=ξbmind(k,N)λξbmind(k−1,N)
后向先验预测误差为
e
b
(
k
,
N
)
=
λ
ξ
b
m
i
n
d
(
k
−
1
,
N
)
ϕ
N
+
1
(
k
,
N
+
1
)
e_b(k,N)=\lambda\xi^d_{b_{min}}(k-1,N)\phi_{N+1}(k,N+1)
eb(k,N)=λξbmind(k−1,N)ϕN+1(k,N+1)
FTF中转换因子的迭代可以表示为
γ
−
1
(
k
,
N
)
=
γ
−
1
(
k
,
N
+
1
)
−
ϕ
^
N
+
1
(
k
,
N
+
1
)
e
b
(
k
,
N
)
\gamma^{-1}(k,N)=\gamma^{-1}(k,N+1)-\widehat\phi_{N+1}(k,N+1)e_b(k,N)
γ−1(k,N)=γ−1(k,N+1)−ϕ
N+1(k,N+1)eb(k,N)
后向最小加权均方误差为
ξ
b
m
i
n
d
(
k
,
N
)
=
λ
ξ
b
m
i
n
d
(
k
−
1
,
N
)
+
e
b
(
k
,
N
)
ε
b
(
k
,
N
)
\xi^d_{b_{min}}(k,N)=\lambda\xi^d_{b_{min}}(k-1,N)+e_b(k,N)\varepsilon_b(k,N)
ξbmind(k,N)=λξbmind(k−1,N)+eb(k,N)εb(k,N)
则后向预测权系数迭代为
w
b
(
k
,
N
)
=
w
b
(
k
−
1
,
N
)
+
ϕ
^
(
k
,
N
)
ε
b
(
k
,
N
)
\bm{w}_b(k,N)=\bm{w}_b(k-1,N)+\widehat\phi(k,N)\varepsilon_b(k,N)
wb(k,N)=wb(k−1,N)+ϕ
(k,N)εb(k,N)
式中
[
ϕ
^
(
k
,
N
)
0
]
=
ϕ
^
(
k
,
N
+
1
)
−
ϕ
N
+
1
(
k
,
N
+
1
)
[
−
w
b
(
k
−
1
,
N
)
1
]
\begin{bmatrix} \widehat\phi(k,N)\\ 0\\ \end{bmatrix}=\widehat\phi(k,N+1)-\phi_{N+1}(k,N+1)\begin{bmatrix}-\bm{w}_b(k-1,N)\\1\\\end{bmatrix}
[ϕ
(k,N)0]=ϕ
(k,N+1)−ϕN+1(k,N+1)[−wb(k−1,N)1]
滤波先验误差为
e
(
k
,
N
)
=
d
(
k
)
−
w
T
(
k
−
1
,
N
)
x
(
k
,
N
)
e(k,N)=d(k)-\bm{w}^T(k-1,N)\bm{x}(k,N)
e(k,N)=d(k)−wT(k−1,N)x(k,N)
则后验误差为
ε
(
k
,
N
)
=
e
(
k
,
N
)
γ
(
k
,
N
)
\varepsilon(k,N)=e(k,N)\gamma(k,N)
ε(k,N)=e(k,N)γ(k,N)
滤波权系数迭代为
w
(
k
,
N
)
=
w
(
k
−
1
,
N
)
+
ϕ
^
(
k
,
N
)
ε
(
k
,
N
)
\bm{w}(k,N)=\bm{w}(k-1,N)+\widehat\phi(k,N)\varepsilon(k,N)
w(k,N)=w(k−1,N)+ϕ
(k,N)ε(k,N)
由此获得快速横向RLS算法的全过程。