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| Publication: Cao, L. and Schwartz, H.M., "A Directional Forgetting Algorithm Based on the Decomposition of the Information Matrix" |
| Abstract: A novel algorithm for directional forgetting is developed based on the decomposition of the information matrix. This algorithm performs exponential forgetting according to the direction of the data vector, thus preventing the problem known as estimator windup which is characteristic of the standard exponential forgetting algorithm. This algorithm is able to track fast parameter changes and is similar in complexity to the standard least squares algorithm. |