A novel extended kernel recursive least squares algorithm.
In this paper, a novel extended kernel recursive least squares algorithm is proposed combining the kernel recursive least squares algorithm and the Kalman filter or its extensions to estimate or predict signals. Unlike the extended kernel recursive least squares (Ex-KRLS) algorithm proposed by Liu, the state model of our algorithm is still constructed in the original state space and the hidden state is estimated using the Kalman filter. The measurement model used in hidden state estimation is learned by the kernel recursive least squares algorithm (KRLS) in reproducing kernel Hilbert space (RKHS). The novel algorithm has more flexible state and noise models. We apply this algorithm to vehicle tracking and the nonlinear Rayleigh fading channel tracking, and compare the tracking performances with other existing algorithms.
Department of Electrical and Computer Engineering, University of Florida, Gainesville, FL 32611, USA. ppzhu@cnel.ufl.edu
Pingping
P
Zhu
Badong
B
Chen
José C
JC
Príncipe
D000465:Algorithms; D003198:Computer Simulation; D016018:Least-Squares Analysis; D016014:Linear Models; D018986:Motor Vehicles; D016571:Neural Networks, Computer; D017711:Nonlinear Dynamics; D016011:Normal Distribution; D060388:Support Vector Machine