A power-based adaptive method for eigenanalysis without square-root operations
Digital Signal Processing
Computers & Mathematics with Applications
| Hi-index | 35.68 |
In the neural network literature, many algorithms have been proposed for estimating the eigenstructure of covariance matrices. We first show that many of these algorithms, when presented in a common framework, show great similitudes with the gradient-like stochastic algorithms usually encountered in the signal processing literature. We derive the asymptotic distribution of these different recursive subspace estimators. A closed-form expression of the covariances in distribution of eigenvectors and associated projection matrix estimators are given and analyzed. In particular, closed-form expressions of the mean square error of these estimators are given. It is found that these covariance matrices have a structure very similar to those describing batch estimation techniques. The accuracy of our asymptotic analysis is checked by numerical simulations, and it is found to be valid not only for a “small” step size but in a very large domain. Finally, convergence speed and deviation from orthonormality of the different algorithms are compared, and several tradeoffs are analyzed