Sample matrix inversion

Sample Matrix Inversion (or Direct Matrix Inversion) This algorithm estimates weights of an array (adaptive filter) by replacing the correlation matrix Ru with its estimate. Using K samples $x(k),k=1,2,....,K-1$the correlation matrix of the array signals, an unbiased estimate of Rmay be obtained by means of a simple averaging scheme $Ru^{(}k)=1/ksum(x(k)*x^{H}(k))$ The expression of the optimal weights requires the inverse of Ru^. The inverse of Ru^ is then required for finding optimal weights. References: [1] B.Widrow , P.E Mantey, L.J Griffiths and b.B.Goode. Adaptive Antenne systems. Proceedings of the IEEE, 55(12):2143-2159, december 1967 [2] S.Haykin Adaptive Filter Theory. Prentice hall , pages 165-168, 1996.