Adaptive Filter Algorithm (RLS and LS)

版本 1.0.0 (2.2 KB) 作者: Putu Fadya

RLS approaches the Kalman filter in adaptive filtering applications with somewhat reduced required throughput in the signal processor.

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Least mean squares (LMS) algorithms represent the simplest and most easily applied adaptive algorithms. The recursive least squares (RLS) algorithms, on the other hand, are known for their excellent performance and greater fidelity, but they come with increased complexity and computational cost. In performance, RLS approaches the Kalman filter in adaptive filtering applications with somewhat reduced required throughput in the signal processor. Compared to the LMS algorithm, the RLS approach offers faster convergence and smaller error with respect to the unknown system at the expense of requiring more computations.

The LMS filters adapt their coefficients until the difference between the desired signal and the actual signal is minimized (least mean squares of the error signal). This is the state when the filter weights converge to optimal values, that is, they converge close enough to the actual coefficients of the unknown system. This class of algorithms adapt based on the error at the current time. The RLS adaptive filter is an algorithm that recursively finds the filter coefficients that minimize a weighted linear least squares cost function relating to the input signals. These filters adapt based on the total error computed from the beginning.

The LMS filters use a gradient-based approach to perform the adaptation. The initial weights are assumed to be small, in most cases very close to zero. At each step, the filter weights are updated based on the gradient of the mean square error. If the gradient is positive, the filter weights are reduced, so that the error does not increase positively. If the gradient is negative, the filter weights are increased. The step size with which the weights change must be chosen appropriately. If the step size is very small, the algorithm converges very slowly. If the step size is very large, the algorithm converges very fast, and the system might not be stable at the minimum error value.

引用格式

Putu Fadya (2024). Adaptive Filter Algorithm (RLS and LS) (https://www.mathworks.com/matlabcentral/fileexchange/123180-adaptive-filter-algorithm-rls-and-ls), MATLAB Central File Exchange. 检索来源 2024/8/25.