A novel algorithm for directional forgetting is developed in this paper. This algorithm performs exponential forgetting according to the direction of data vector, thus preventing the problem known as estimator windup which is a characteristic of the standard exponential forgetting algorithm. This algorithm is able to track fast parameter changes and is similar in complexity to the standard least square algorithm. The superior performance of the algorithm is verified via theoretical and simulation studies.

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Conference Proceedings of the 1999 American Control Conference (99ACC)
Citation
Cao, Liyu (Liyu), & Schwartz, H.M. (1999). Novel recursive algorithm for directional forgetting. In Proceedings of the American Control Conference (pp. 1334–1338).