This repository contains the all the simulation code for the paper written by Alexandre Amice and Raphael Van Hoffelen entitled: "Online Convex Optimization of Forgetting Factor for Recursive Least Squares Estimation of a Time Varying Parameter".
The pdf of the paper is also in this repository and will explain the problem statement and what this simulation is trying to do with results.
All the simulation code is in the "Simulation" directory. When running the simulation you will get the results saved in a new folder in that same directory.
- Matlab
Simply add this repository to your path on Mattlab and run the following commad in the console:
RunSim(forgeting_factor)
The argument passed in is the forgetting factor you want to use during the simulation.
You can also run it with the following argument to get the optimal factor:
RunSim("optimal")
This project is licensed under the MIT License - see the LICENSE.md file for details.