Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
564584 | Signal Processing | 2008 | 11 Pages |
Abstract
A new bi-iteration type subspace tracker for updating a rank-r SVD approximant of a time-varying cross-correlation matrix of dimension N×MN×M is introduced. The algorithm is based on updated orthonormal-square (QS ) decompositions with row-Householder reflections and attains a dominant complexity of 3Nr+3Mr3Nr+3Mr operations per time update, which is the lower bound of dominant complexity for an algorithm of this kind. A closed-form quasicode listing of the algorithm is provided. Computer experiments validate the theoretical results.
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Physical Sciences and Engineering
Computer Science
Signal Processing
Authors
Peter Strobach,