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RLS - Least Squares Motivation Least Least-squares...

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Least Squares : Motivation SDA/LMS assume a probabilistic model underlying the optimal filtering problem. SDA/LMS assume access to ensemble statistics and multiple realizations. SDA/LMS assume ergodicity in the absence of multiple realizations. SDA/LMS speed of convergence tied up with eigenvalue spread of R uu . Least Least - squares Algorithm squares Algorithm Deterministic cost-function: Deterministic orthogonality principle: Deterministic normal equations: Least Squares Algorithm Least Squares Algorithm Optimal solution requires matrix inversion:
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