An updating algorithm for subspace tracking

  • Authors:
  • G.W. Stewart

  • Affiliations:
  • Dept. of Comput. Sci., Maryland Univ., College Park, MD

  • Venue:
  • IEEE Transactions on Signal Processing
  • Year:
  • 1992

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Abstract

In certain signal processing applications it is required to compute the null space of a matrix whose rows are samples of a signal with p components. The usual tool for doing this is the singular value decomposition. However, the singular value decomposition has the drawback that it requires O(p3) operations to recompute when a new sample arrives. It is shown that a different decomposition, called the URV decomposition, is equally effective in exhibiting the null space and can be updated in O( p2) time. The updating technique can be run on a linear array of p processors in O(p) time