A new derivation for fast recursive least squares and Levinson algorithms by the conjugate direction method
Arye Nehorai, Martin E. Morf · 2005
This paper provides a new derivation and interpretation for the fast recursive least squares (RLS) algorithm of [1-3] and for the (block) Levinson algorithm as specialized conjugate direction methods (CDMs). The fast RLS time update is shown to be equivalent to a particular combination of two last steps in CDM recursions, giving a novel geometric description for this method. The results for the Levinson algorithm extend the ones of [9] on its relationship to the CDM.