Linear Time-Varying Optimal Filtering

Abstract

A review of linear time-varying optimal filtering is undertaken. It is divided into 3 parts:

(i) Early theories

(ii)Least-squares algorithms

(iii)Recent developments.

The least-squares algorithms encompass Recursive Least Squares (RLS) algorithms, Kalman algorithm and RLMS algorithms. Kailath [17] presented an overview of linear filtering. Since 1974, several developments have taken place which are reviewed here. Discussions are focussed on time-varying systems.

Indexing terms:

• Optimal filtering
• Time-varying systems