Efficient tracking of time-varying signal subspaces
- 1 January 1992
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- Vol. 5, 133-136 vol.5
- https://doi.org/10.1109/icassp.1992.226640
Abstract
An algorithm for tracking d principal eigenvectors of an M-dimensional sample data covariance matrix is described. This algorithm requires O(Md/sup 2/) multiplications per iteration yet has performance comparable to algorithms having O(M/sup 2/d/sup 2/) complexity. A proof of the algorithm's convergence is given along with the results of several computer simulations.Keywords
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