Fast and Stable YAST Algorithm for Principal and Minor Subspace Tracking

Authors:
R. Badeau;G. Richard;B. David
Affiliations:
Dept. of Signal & Image Process., TELECOM ParisTech, Paris;-;-
Venue:
IEEE Transactions on Signal Processing - Part I
Year:
2008

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Abstract

This paper presents a new implementation of the YAST algorithm for principal and minor subspace tracking. YAST was initially derived from the subspace projection (SP) algorithm by Davila, which was known for its exceptional convergence rate, compared with other classical principal subspace trackers. The novelty in the YAST algorithm was the lower computational cost (linear if the data correlation matrix satisfies a so-called shift-invariance property), and the extension to minor subspace tracking. However, the original implementation of the YAST algorithm suffered from a numerical stability problem (the subspace weighting matrix slowly loses its orthonormality). We thus propose in this paper a new implementation of YAST, whose stability is established theoretically and tested via numerical simulations. This algorithm combines all the desired properties for a subspace tracker: remarkably high convergence rate, lowest steady-state error, linear complexity, and numerical stability regarding the orthonormality of the subspace weighting matrix.