RLS Adaptive Filter (Obsolete)
Compute filter estimates for input using RLS adaptive filter algorithm
Library
dspobslib
Description
Note
The RLS Adaptive Filter block is still supported but is likely to be obsoleted in a future release. We strongly recommend replacing this block with the RLS Filter block.
The RLS Adaptive Filter block recursively computes the recursive least squares (RLS) estimate of the FIR filter coefficients.
The corresponding RLS filter is expressed in matrix form as
$$\begin{array}{l}k(n)=\frac{{\lambda}^{-1}P(n-1)u(n)}{1+{\lambda}^{-1}{u}^{H}(n)P(n-1)u(n)}\hfill \\ y(n)={\widehat{w}}^{H}(n-1)u(n)\hfill \\ e(n)=d(n)-y(n)\hfill \\ \widehat{w}(n)=\widehat{w}(n-1)+k(n){e}^{*}(n)\hfill \\ P(n)={\lambda}^{-1}P(n-1)-{\lambda}^{-1}k(n){u}^{H}(n)P(n-1)\hfill \end{array}$$
where λ^{-1} denotes the reciprocal of the exponential weighting factor. The variables are as follows
Variable | Description |
---|---|
n | The current algorithm iteration |
u(n) | The buffered input samples at step n |
P(n) | The inverse correlation matrix at step n |
k(n) | The gain vector at step n |
$$\widehat{w}(n)$$ | The vector of filter-tap estimates at step n |
y(n) | The filtered output at step n |
e(n) | The estimation error at step n |
d(n) | The desired response at step n |
λ | The exponential memory weighting factor |
The block icon has port labels corresponding to the inputs and outputs of the RLS
algorithm. Note that inputs to the In
and Err
ports must be sample-based scalars. The signal at the Out
port is a
scalar, while the signal at the Taps
port is a sample-based
vector.
Block Ports | Corresponding Variables |
---|---|
In | u, the scalar input, which is internally buffered into the vector u(n) |
Out | y(n), the filtered scalar output |
Err | e(n), the scalar estimation error |
Taps | $$\widehat{w}(0)$$, the vector of filter-tap estimates |
An optional Adapt
input port is added when you select the
Adapt input check box in the dialog box. When this port is
enabled, the block continuously adapts the filter coefficients while the
Adapt
input is nonzero. A zero-valued input to the
Adapt
port causes the block to stop adapting, and to hold the
filter coefficients at their current values until the next nonzero
Adapt
input.
The implementation of the algorithm in the block is optimized by exploiting the symmetry of the inverse correlation matrix P(n). This decreases the total number of computations by a factor of two.
The FIR filter length parameter specifies the length of the
filter that the RLS algorithm estimates. The Memory weighting
factor corresponds to λ in the equations, and specifies how quickly the
filter “forgets” past sample information. Setting λ=1
specifies an infinite memory; typically,
0.95
≤λ≤1
.
The Initial value of filter taps specifies the initial value $$\widehat{w}(0)$$ as a vector, or as a scalar to be repeated for all vector elements. The initial value of P(n) is
$$I\frac{1}{{\widehat{\sigma}}^{2}}$$
where you specify$${\widehat{\sigma}}^{2}$$ in the Initial input variance estimate parameter.
Examples
The rlsdemo
example
illustrates a noise cancellation system built around the RLS Adaptive Filter
block.
Parameters
- FIR filter length
The length of the FIR filter.
- Memory weighting factor
The exponential weighting factor, in the range
[0,1]
. A value of1
specifies an infinite memory. Tunable (Simulink).- Initial value of filter taps
The initial FIR filter coefficients.
- Initial input variance estimate
The initial value of 1/P(n).
- Adapt input
Enables the
Adapt
port.
References
Haykin, S. Adaptive Filter Theory. 3rd ed. Englewood Cliffs, NJ: Prentice Hall, 1996.
Supported Data Types
Double-precision floating point
Single-precision floating point
See Also
Kalman Adaptive Filter (Obsolete) | DSP System Toolbox |
LMS Adaptive Filter (Obsolete) | DSP System Toolbox |
See Noise Cancellation in Simulink Using Normalized LMS Adaptive Filter for related information.
Version History
Introduced in R2008b