An Updating Algorithm for Subspace Tracking
An Updating Algorithm for Subspace Tracking
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Date
1998-10-15
Authors
Stewart, G. W.
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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. The usual tool
for doing this is the singular value decomposition. However, the singular
value decomposition has the drawback that it requires $O(p^3)$ operations
to recompute when a new sample arrives. In this paper, we show that a
different decomposition, called the URV, decomposition is equally
effective in exhibiting the null space and can be updated in $O(p^2)$
time. The updating technique can be run on a linear array of $p$
processors in $O(p)$ time.
(Also cross-referenced as UMIACS-TR-90-86)
To appear in IEEE Transactions on Acoustics, Speech and Signal
Processing
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thales.cs.umd.edu in the directory pub/reports