Recursive Least Square

Requirements

• QT 5.9
• Eigen3

Algorithom (update)

• P Covariance matrix
• H regressor matrix
• theta parameter vector

psi_k_1 = (P*H) * (lambda + H.transpose()*P*H).inverse();
P_k_1 = P - ((P * H * H.transpose() *P) /(den +0.99)  );
theta_hat_k_1 = theta_hat + psi_k_1*(Y_k_1 - H.transpose()*theta_hat);