Square-root QR inverse iteration for tracking the minor subspace

@article{Strobach2000SquarerootQI,
  title={Square-root QR inverse iteration for tracking the minor subspace},
  author={Peter Strobach},
  journal={IEEE Trans. Signal Processing},
  year={2000},
  volume={48},
  pages={2994-2999}
}
A new algorithm for tracking the eigenvectors associated with the smallest eigenvalues of an covariance matrix is introduced. The method is sequential inverse iteration based on a recursive square-root QR factor updating of the covariance matrix with ( 2 ) operations per time update. The principal operations count of this new tracker is justified by a significantly better performance compared with the recently introduced fast ( ) minor subspace tracker of Douglaset al.. 

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