QR-RLS Algorithm

Overview

What is QR-RLS

Different methods of Computation

Simulation

Results

QR-RLS?
QR-RLS algorithm is used to solve linear
least square problems.
The decomposition is the basis for the QR
algorithm.
Algorithm is a procedure to produce
eigenvalues of a matrix.

Advantage
Using this QR method is not for speed, but
the numerical stablility
How?
proceeds by orthogonal similarity
transforms.
works directly with data from decomp.
eliminating the correlation matrix.

Computing QR Decomp.
Gram-Schmidt

Householder
a.k.a

Givens

Process

Transformation

Householder reflection

Rotation

Gram-Schmidt

A method of orthogonalizing a set of

vectors
This method is numerically Unstable

The vectors arent orthogonal due to rounding

errors.
Loss of orthogonality is bad

Householder

Used to calculate QR decompositions

Reflection of a vector plane in 3-D space.

Hyperplane is a unit vector orthogonal to

hyperplane

Householder

Used to zero out

subdiagonal elements
A is decomposed:

R
R
T
Q A or QQ A A Q
0
0
T

where QT=HnH2H1 is the

orthogonal product of
Householders and R is
upper triangular.

Over determined system

Ax=b is transformed into
the easy-to-solve

R
T
x

Q
b
0

Householder

Properties it follows:
Symmetrical : Q = Q^T
it is orthogonal: Q^{-1}=Q^T
therefore it is also involutary: Q^2=I

By using the Householder transformation

method, it has more stability than the
Gram-Schmidt

Givens Rotation

Another transformation to find Q matrix

Method zeros out element in the matrix

Most useful because:

Dont have to build a new matrix but just

manipulating original
Less work and zeros out what is needed
Much more easily parallelized

The Matrix

c represents cos(), s represents sin()

Properties

The cosine parameter c is always real, but

the sine parameter s is complex when
dealing with complex data.
The parameters c and s are always
constrained by trigonometric relation
The Givens rotation is non-Hermitian
Givens rotation is unitary.
The Givens rotation is length preserving

How Givens Rotations Works

Method
111 000 000 000 000 000 000 000
000 111 000 000 000 000 000 000
000 000 111 000 000 000 000 000
000 000 000 111 000 000 000 000
000 000 000 000 1a
1 00b 000 000
000 000 000 000 00g0 1da1 00b
0 000
00 00 00 00 000000ga1dab00b
000 000 000 000 00000000g00gd11d

some matrix
*** *** *** *** *** *** *** ***
*** *** *** *** *** *** *** ***
*** *** *** *** *** *** *** ***
*** *** *** *** *** *** *** ***
*** *** *** *** *** *** *** ***
0** *** *** *** *** *** *** ***
00** *** *** *** *** *** *** ***
00* *** *** *** *** *** *** ***

output

==

** ** ** ** ** ** ** **
** ** ** ** ** ** ** **
** ** ** ** ** ** ** **
** ** ** ** ** ** ** **
** ** ** ** ** ** ** **
00* ** ** ** ** ** ** **
00* ** ** ** ** ** ** **
00 0* ** ** ** ** ** **

Gm Gm-1 Gm-2 ... G2 G1 U = Upper triangular and Diagonal

QR-RLS Algorithm

Data matrix:

- M represents the number of FIR filter coefficients