A study on robust recursive total least squares algorithm based on iterative Wiener filter method

Jun Seok Lim

doi:10.7776/ASK.2021.40.3.213

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2021 Vol.40, Issue 3 Preview Page Next Page

Research Article

A study on robust recursive total least squares algorithm based on iterative Wiener filter method 반복형 위너 필터 방법에 기반한 재귀적 완전 최소 자승 알고리즘의 견실화 연구

31 May 2021. pp. 213-218

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Abstract

It is known that total least-squares method shows better estimation performance than least-squares method when noise is present at the input and output at the same time. When total least squares method is applied to data with time series characteristics, Recursive Total Least Squares (RTS) algorithm has been proposed to improve the real-time performance. However, RTLS has numerical instability in calculating the inverse matrix. In this paper, we propose an algorithm for reducing numerical instability as well as having similar convergence to RTLS. For this algorithm, we propose a new RTLS using Iterative Wiener Filter (IWF). Through the simulation, it is shown that the convergence of the proposed algorithm is similar to that of the RTLS, and the numerical robustness is superior to the RTLS.

Keywords

Total least squares

Iterative Wiener Filter (IWF)

Numerical robustness

Recursive algorithm

입력과 출력에 동시에 잡음이 존재하는 경우 최소 자승법 보다는 완전 최소 자승법이 더 우수한 추정 성능을 보인다는 것이 알려져 있다. 완전 최소 자승법을 시계열 특성을 가지는 데이터에 적용할 경우 보다 실시간 성을 더하기 위해서 Recursive Total Least Squares(RTS) 알고리즘이 제안되어 있다. RTLS는 알고리즘 내에 존재하는 역행렬 계산에서 수치적인 불안정성을 지닌다. 본 논문에서는 RTLS와 유사한 수렴성을 지닐 뿐만 아니라 수치적 불안정성을 줄이기 위한 알고리즘을 제안한다. 이 알고리즘을 위해서 Iterative Wiener Filter(IWF)를 적용한 새로운 RTLS를 제안한다. 시뮬레이션을 통해서 수렴성이 기존의 RTLS와 유사할 뿐만 아니라 수치적 견실성이 기존 RTLS보다 향상되었다는 것을 보인다.

키워드

완전 최소 자승

재차 위너 필터

수치적 견실화

재차형 알고리즘

References

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Information

Publisher :The Acoustical Society of Korea
Publisher(Ko) :한국음향학회
Journal Title :The Journal of the Acoustical Society of Korea
Journal Title(Ko) :한국음향학회지
Volume : 40
No :3
Pages :213-218
Received Date : 2021-02-26
Accepted Date : 2021-04-16
DOI :https://doi.org/10.7776/ASK.2021.40.3.213

The Journal of the Acoustical Society of Korea ISSN:1225-4428(Print) 2287-3775(Online) 한국음향학회지

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