Automatica, Vol.36, No.11, 1725-1731, 2000
A directional forgetting algorithm based on the decomposition of the information matrix
A novel algorithm for directional forgetting is proposed based on a matrix decomposition method, which is developed in this paper. This algorithm performs exponential forgetting according to the direction of the data vector, thus preventing the problem known as estimator windup which is a characteristic of the standard exponential forgetting algorithm.
Keywords:recursive algorithms;least-squares method;parameter estimation;exponential forgetting;directional forgetting