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The well-known recursive least-squares (RLS) algorithms are directly dependent on the recursive estimation method for inversion of the auto-correlation matrix based on the matrix inverse lemma. On the basis of recursive estimation of the augmented cross-correlation matrix and the well-known power iteration, this paper establishes a recursive total instrumental-variable (RTIV) algorithm for tracking...
We present a fast algorithm for the inversion of certain sparse matrices with periodic side-diagonals. Matrices of this type are widely used in time–frequency analysis and Gabor theory. There are no constraints to the matrix like in other known algorithms and the algorithm computes the exact inverse and not only an approximation.
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