For unknown non-explosive linear Gaussian systems, the OPF algorithm with per-coordinate forgetting achieves O(log³ N) regret against the Kalman filter, improving over the prior O(log⁶ N) bound.
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Model-free Online Learning for the Kalman Filter: Forgetting Factor and Logarithmic Regret
For unknown non-explosive linear Gaussian systems, the OPF algorithm with per-coordinate forgetting achieves O(log³ N) regret against the Kalman filter, improving over the prior O(log⁶ N) bound.