Recursive Least Squares in Rust

This library implements the Recursive Least Squares algorithm with exponential forgetting. See Haykin's Adaptive Filter Theory for details.

It is using ndarray for its vector and matrix data structures.

Recent releases

• 0.1.3:
  • the gain vector is now correctly calculated and not based on its old value;
  • the inverse correlation matrix is updated 10 times faster by moving from ?gemm to ?ger, the outer vector product;
• 0.1.2: the inverse correlation matrix is now correctly initialized as δ^{-1} · 𝟙
• 0.1.1: use ndarrays Zip/NdProducer functionality via the azip! macro for performance;
• 0.1.0: initial release.

License

Dual-licensed under Apache 2.0 and MIT licenses to be compatible with the Rust project.