Kernel Recursive Least-Squares Tracker algorithm

Matlab code for performing time-varying regression with the Kernel Recursive Least-Squares Tracker algorithm

Available here: Matlab source code.

References

Lázaro-Gredilla, M., S. Van Vaerenbergh, and I. Santamaría, "A Bayesian Approach To Tracking With Kernel Recursive Least-Squares", IEEE International Workshop on Machine Learning for Signal Processing (MLSP 2011), Beijing, China, September, 2011.

PDF Version (238.14 KB)

Van Vaerenbergh, S., M. Lázaro-Gredilla, and I. Santamaría, "Kernel Recursive Least-Squares Tracker for Time-Varying Regression", IEEE Transactions on Neural Networks and Learning Systems, vol. 23, issue 8, pp. 1313--1326, August, 2012.

PDF Version (861.59 KB)

Pérez-Cruz, F., S. Van Vaerenbergh, J J. Murillo-Fuentes, M. Lázaro-Gredilla, and I. Santamaría, "Gaussian Processes for Nonlinear Signal Processing: An Overview of Recent Advances", IEEE Signal Processing Magazine, vol. 30, issue 4, pp. 40-50, July, 2013.

PDF Version (1.68 MB)