Downdating a Rank-Revealing URV Decomposition
Downdating a Rank-Revealing URV Decomposition
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Date
1998-10-15
Authors
Wu, Yuan-Jye Jason
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Abstract
Abstract. The rank-revealing URV decomposition is a useful tool
for the subspace tracking problem in digital signal processing. Updating
the decomposition is a stable process. However, downdating a
rank-revealing URV decomposition could be unstable because the R factor
is ill-conditioned. In this paper, we review some existing downdating
algorithms for the full-rank URV decomposition in the absence of U and
develop a new combined algorithm. We also show that the combined
algorithm has relational stability. For the rank-revealing URV
decomposition, we review a two-step method that applies full-rank
downdating algorithms to the signal and noise parts separately. We
compare several combinations of the full-rank algorithms and demonstrate
good performance of our combined algorithm.