Conjugate gradient eigenstructure tracking for adaptive spectral estimation

@article{Fu1995ConjugateGE,
title={Conjugate gradient eigenstructure tracking for adaptive spectral estimation},
author={Zuqiang Fu and Eric M. Dowling},
journal={IEEE Trans. Signal Processing},
year={1995},
volume={43},
pages={1151-1160}
}

A conjugate gradient iteration is derived that converges to the set of r dominant/subdominant eigenpairs. This iteration is used to construct two eigenstructure tracking algorithms that track the r-dimensional dominant or subdominant subspaces of time-varying data or data-covariance matrices. The two eigenstructure tracking algorithms have update complexities O ( m 2 r ) and the other O ( m r 2 ) , where m is the data dimension. The algorithms are customized to solve high resolution temporal… CONTINUE READING