A novel recursive algorithm for directional forgetting
Liyu Cao, Howard M. Schwartz · 1999
An algorithm for directional forgetting is developed. This algorithm performs exponential forgetting according to the direction of data vector, thus preventing the problem known as estimator windup which is a 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 square algorithm. The superior performance of the algorithm is verified via theoretical and simulation studies.