Recursive least squares with linear constraints

Recursive Least Squares (RLS) algorithms have wide-spread applications in many areas, such as real-time signal processing, control and communications. This paper shows that the unique solutions to linear-equality constrained and the unconstrained LS problems, respectively, always have exactly the same recursive form. Their only difference lies in the initial values. Based on this, a recursive algorithm for the linear-inequality constrained LS problem is developed. The RLS algorithm, in a theoretically equivalent form by a simple modification, is shown to be robust in that the constraints are always guaranteed to be satisfied no matter how large the numerical errors are.