Directional forgetting algorithm based on the decomposition of the information matrix

A directional forgetting algorithm based on the decomposition of the information matrix is presented. Theoretical studies show that the algorithm has desirable properties, such as to forget old data according to the information content in various directions, above and below bounded information matrix. Compared with various modifications to the exponential forgetting algorithm, the new algorithm is simple in the sense that there are only two adjustable parameters that can be easily prespecified. These properties make this algorithm an attractive selection for online identification.

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