Sliding window adaptive SVD using the unsymmetric householder partial compressor

Authors:
Peter Strobach
Affiliations:
AST-Consulting Inc., Bahnsteig 6, 94133 Röhrnbach, Germany
Venue:
Signal Processing
Year:
2010

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Abstract

A fast algorithm for tracking the rank-r SVD-approximant Q(t)P(t)U^T(t) of a sliding window data matrix X(t) of dimension LxN is introduced, where P(t) is a square-root power matrix of dimension rxr with r