KernelRecursiveLeastSquares

A Julia implementation of the Kernel Recursive Least Squares algorithm

KRLS is a fast and efficient online kernel regression algorithm. KRLS processes data one sample at a time and builds a dictionary of training points that are useful for approximating the function.

Y. Engel, S. Mannor, and R. Meir, “The kernel recursive least-squares algorithm,” IEEE Transactions on Signal Processing, vol. 52, no. 8, pp. 2275–2285, 2004.