Two algorithms for fast approximate subspace tracking

Author

Real, Edward C. ; Tufts, Donald W. ; Cooley, James W.

Author_Institution

Signal Process. Center of Technol., Sanders Associates Inc., Nashua, NH, USA

Volume

47

Issue

7

fYear

1999

fDate

7/1/1999 12:00:00 AM

Firstpage

1936

Lastpage

1945

Abstract

New fast algorithms are presented for tracking singular values, singular vectors, and the dimension of a signal subspace through an overlapping sequence of data matrices. The basic algorithm is called fast approximate subspace tracking (FAST). The algorithm is derived for the special case in which the matrix is changed by deleting the oldest column, shifting the remaining columns to the left, and adding a new column on the right. A second algorithm (FAST2) is specified by modifying FAST to trade reduced accuracy for higher speed. The speed and accuracy are compared with the PL algorithm, the PAST and PASTd algorithms, and the FST algorithm. An extension to multicolumn updates for the FAST algorithm is also discussed

Keywords

approximation theory; computational complexity; signal processing; singular value decomposition; tracking; FST algorithm; PAST algorithm; PASTd algorithm; PL algorithm; SVD; computational complexity; data matrices; fast algorithms; fast approximate subspace tracking; multicolumn updates; overlapping sequence; reduced accuracy; signal subspace dimension; singular value decomposition; singular values tracking; singular vectors; speed; Interference suppression; Matrix decomposition; Parameter estimation; Radar applications; Radar signal processing; Radar tracking; Signal processing algorithms; Singular value decomposition; Sonar applications; Speech processing;

fLanguage

English

Journal_Title

Signal Processing, IEEE Transactions on

Publisher

ieee

ISSN

1053-587X

Type

jour

DOI

10.1109/78.771042

Filename

771042