Extended Kernel Recursive Least Squares Algorithm
This paper presents a kernelized version of the extended recursive least squares (EX-KRLS) algorithm which implements for the first time a general linear state model in reproducing kernel Hilbert spaces (RKHS), or equivalently a general nonlinear state model in the input space. The center piece of this development is a reformulation of the well known extended recursive least squares (EX-RLS) algorithm in RKHS which only requires inner product operations between input vectors, thus enabling the application of the kernel property (commonly known as the kernel trick). The first part of the paper presents a set of theorems that shows the generality of the approach. The EX-KRLS is preferable to 1) a standard kernel recursive least squares (KRLS) in applications that require tracking the state-vector of general linear state-space models in the kernel space, or 2) an EX-RLS when the application requires a nonlinear observation and state models. The second part of the paper compares the EX-KRLS in nonlinear Rayleigh multipath channel tracking and in Lorenz system modeling problem. We show that the proposed algorithm is able to outperform the standard KRLS and EX-RLS in both simulations.