Diagonally loaded SMI algorithm based on inverse matrix recursion
Cao Jianshu, Wang Xuegang · Journal of Systems Engineering and Electronics · 2007
The derivation of a diagonally loaded sample-matrix inversion (LSMI) algorithm on the busis of inverse matrix recursion (i.e. LSMI-IMR algorithm) is conducted by reconstructing the recursive formulation of covariance matrix. For the new algorithm, diagonal loading is by setting initial inverse matrix without any addition of computation. In addition, a corresponding improved recursive algorithm is presented, which is low computational complexity. This eliminates the complex multiplications of the scalar coefficient and updating matrix, resulting in significant computational savings. Simulations show that the LSMI-IMR algorithm is valid.