RECURSIVE ALGORITHM FOR THE BEST APPROXIMATE SOLUTION OF LINEAR EQUATIONS WITH APPLICATIONS TO SYSTEM IDENTIFICATION AND STATE ESTIMATION.
NAVAL POSTGRADUATE SCHOOL MONTEREY CALIF
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The sequential solution, in recursive form, of a growing set of linear equations, based upon the least-square-error and a weighted least-square-error criterion, are developed. For comparison these results are applied to the discrete-time solution of several estimation and identification problems. Recursive algorithms for pseudo inversion and the best approximate solution of a set of linear equations are included. Finally, efficient state estimation procedures for time-invariant systems using a sliding-window observer are presented. Author
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