Abstract
In this contribution, a covariance counterpart is described of the information matrix approach to constrained recursive least squares estimation. Unlike information-type algorithms, covariance algorithms are amenable to parallel implementation, e.g., on processor arrays, and this is also demonstrated. As compared to previously described combined covariance-information algorithms/arrays, the present implementation avoids a doubling of the hardware requirement, and therefore constitutes a significant improvement over these combined implementations as well.
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Moonen, M., Vandewalle, J. A square root covariance algorithm for constrained recursive least squares estimation. J VLSI Sign Process Syst Sign Image Video Technol 3, 163–172 (1991). https://doi.org/10.1007/BF00925827
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DOI: https://doi.org/10.1007/BF00925827