Title: An SVD updating algorithm for subspace tracking
Authors: Moonen, Marc ×
Van Dooren, P
Vandewalle, Joos #
Issue Date: 1992
Publisher: Society for Industrial and Applied Mathematics
Series Title: SIAM journal on matrix analysis and applications issue:4 pages:1015-1038
Abstract: In this paper, the well-known QR updating scheme is extended to a similar but more versatile and generally applicable scheme for updating the singular value decomposition (SVD). This is done by supplementing the QR updating with a Jacobi-type SVD procedure, where apparently only a few SVD steps after each QR update suffice in order to restore an acceptable approximation for the SVD. This then results in a reduced computational cost, comparable to the cost for merely QR updating.
ISSN: 0895-4798
Publication status: published
KU Leuven publication type: IT
Appears in Collections:ESAT - STADIUS, Stadius Centre for Dynamical Systems, Signal Processing and Data Analytics
× corresponding author
# (joint) last author

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