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YoshiRi/rls_const_func.m

Created June 30, 2016 08:59
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RLS function for MATLAB
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rls_const_func.m
function [Cta, Pn, Rn] = rls_const_func(Cta_,Pn_,Rn_,Yn ,Zn)
%% forgetting factor (Time varying)
Rn = (1 - 0.01)*Rn_ + 0.01;
%% function
Num = Rn+Zn'*Pn_*Zn;
Pn = 1/Rn*( Pn_ - (Pn_ * Zn * Zn' * Pn_/Num) );
Ln = Pn_*Zn /Num;
En = Yn - Zn.' * Cta_;
%% Output
Cta = Cta_ + Ln * En;
end
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