Efficient, numerically stabilized rank-one eigenstructure updating [signal processing]

  title={Efficient, numerically stabilized rank-one eigenstructure updating [signal processing]},
  author={Ronald D. DeGroat and Richard A. Roberts},
  journal={IEEE Trans. Acoustics, Speech, and Signal Processing},
Rank-one eigenvalue decomposition (EVD) updating is well suited to the problem of tracking time-varying subspaces. Previously published rank-one EVD updating algorithms suffer from a linear buildup of roundoff error which makes them impractical for large numbers of recursive updates. The main contribution of this paper is the development of a numerical stabilization technique which eliminates the error buildup problem in a computationally efficient manner and makes the rank-one EVD update a… CONTINUE READING
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