Performance analysis of an adaptive algorithm for tracking dominant subspaces

@article{Delmas1998PerformanceAO,
  title={Performance analysis of an adaptive algorithm for tracking dominant subspaces},
  author={Jean Pierre Delmas and Jean-François Cardoso},
  journal={IEEE Trans. Signal Processing},
  year={1998},
  volume={46},
  pages={3045-3057}
}
This paper provides a performance analysis of a least mean square (LMS) dominant invariant subspace algorithm. Based on an unconstrained minimization problem, this algorithm is a stochastic gradient algorithm driving the columns of a matrix W to an orthonormal basis of a dominant invariant subspace of a correlation matrix. We consider the stochastic algorithm governing the evolution of WW to the projection matrix onto this dominant invariant subspace and study its asymptotic distribution. A… CONTINUE READING
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