[R] Updating a linear model

Jason Turner jasont at indigoindustrial.co.nz
Mon Sep 22 23:03:59 CEST 2003

On Tue, 2003-09-23 at 07:02, Paul Meagher wrote:
> My google search for Plackett's Algorithm didn't return too much except that
> Plackett's algorithm appears to be useful in Control Theory - it is
> elaborated as "Plackett's algorithm for on-line recursive least squares
> estimation".  Sounds something like what I want.

Recursive least squares is touched upon in Ogata, pp 861-863.

  author =	 {Katsuhiko Ogata},
  title = 	 {Discrete-Time Control Systems},
  publisher = 	 {Prentice-Hall},
  year = 	 1987,
  address =	 {Englewood Cliffs, New Jersey}

These algorithms are built for speed, not robustness.  They are written
for online real-time systems that might have to solve many of these
identification problems in under a second.  As such, you won't get the
nice features of things like a trimmed least squares (though weighting
is covered in Ogata).


Indigo Industrial Controls Ltd.

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