Two algorithms for fast approximate subspace tracking

@article{Real1999TwoAF,
  title={Two algorithms for fast approximate subspace tracking},
  author={Edward C. Real and Donald W. Tufts and James W. Cooley},
  journal={IEEE Trans. Signal Processing},
  year={1999},
  volume={47},
  pages={1936-1945}
}
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… CONTINUE READING
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