Bottleneck in RLS filter

[kristoferm94]

Hi,

I was running your RLS filter on large input and desired output signals (index length c.a. 700k) and noticed that the filter was pretty slow compared to Matlab (c.a. 1-2 hours vs. 5-10 seconds).

After looking through https://github.com/matousc89/padasip/blob/master/padasip/filters/rls.py, I noticed that there is a bottleneck in line 123

self.w_history[k:] = self.w

This line inserts w into the kth row and all the rows after the kth one for each k (time complexity O(N^2) where N is the signal length)

This bottleneck can be solved by adding a comma to line 123:

self.w_history[k, :] = self.w

that is, insert w only into the kth line in w_history (worst case time complexity O(M) where M is the filter length?)

After changing this line, the filter performed much faster (5-10 seconds like Matlab's RLS filter).

[matousc89]

Thank you for pointing that out. In new version it will be corrected.

[matousc89]

Solved in version 0.5