Method of Least‐Squares

This chapter briefly talks about the method of least-squares. It first presents a formulation of the problem of least-squares for a linear combiner and discusses some of its properties. Then, it introduces the standard recursive least-squares (RLS) algorithm as an example of the class of least-squares-based adaptive filtering algorithms. Some results that compare the LMS and RLS algorithms are also given. An alternative interpretation to the solution of least-squares problem can be given using the concept of projection operator. The chapter also deals with the convergence behavior of the RLS algorithm in the context of a system modeling problem. Controlled Vocabulary Terms adaptive filters; approximation theory