2014 Volume 7 Issue 4 Pages 219-226
This paper examines the problem of exponentially-weighted H∞ adaptive filtering and shows that its suboptimal solution reduces to a recursive algorithm which is slightly different from the RLS algorithm. Based on this similarity, its fast array form is immediately obtained by following the derivation of the fast RLS array algorithm. Also a theoretical expression for its steady-state mean-square error is provided. Several numerical examples indicate that the exponentially-weighted H∞ filter can achieve a proper balance between H∞ and H2 (least squares) filtering criteria.