[SciPy-User] RLS algorithm?

[Neal Becker]

Charles R Harris wrote:

> On Tue, Oct 23, 2012 at 11:20 AM, Neal Becker <ndbecker2 at gmail.com> wrote:
> 
>> Anyone have code for RLS (recursive least squares)?  I have one version,
>> but it
>> seems to be rather unstable.
>>
>>
> A bit more information would be helpful. What are you trying to do and how
> have you implemented it.
> 
> Chuck

Using Haykin 2002 "Adaptive Filter Theory", pp 443 (table 9.1), I came up with 
this:

import numpy as np
from itertools import izip
class rls (object):
    def __init__ (self, w, p, _lambda):
        self.w = w
        self._lambda = _lambda
        self.p = p

    def call1 (self, u, d):
        pi_n = np.dot (u.conj(), self.p)
        kappa = self._lambda + np.dot (pi_n, u)
        k_n = pi_n.conj() / kappa
        z = np.dot (self.w.conj(), u)
        e = d - z
        self.w += k_n * e.conj()
        self.p = 1/self._lambda * (self.p - np.outer (k_n, pi_n))

    def __call__ (self, u, d):
        if hasattr (d, '__len__'):
            for eu, ed in izip (u, d):
                self.call1 (eu, ed)
        else:
            self.call1 (u, d)