Also there is a method for controlling Adaptive filters with this name!
as Humungus said, it is a conventional method for linear regression and curve fitting, an important topic in statistic/math.
with this and other method of curve fitting it is possible to model systems from exprimental(measured) values of them. thus this method is widely used in device modeling(MOS,BJT,Caps,Inductors,...) in physics and other Advanced technologies.
I think the merit of this method in respect to other methods is simplicity and availability of analytical solution for it; also several functions which are not linear(such as log, exp) can be converted to linear function by some transforms.
BEST!