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Title: Analysis of a class of continuous-time algorithms for principal component analysis and subspace tracking
Authors: Dehaene, Jeroen ×
Moonen, Marc
Vandewalle, Joos #
Issue Date: Mar-1999
Publisher: Ieee-inst electrical electronics engineers inc
Series Title: IEEE Transactions on circuits and systems i-fundamental theory and applications vol:46 issue:3 pages:364-372
Abstract: We give a new analysis of a class of continuous-time subspace tracking algorithms, related to a number of discrete-time algorithms, such as stochastic gradient algorithms, spherical subspace trackers, and a new discrete-time algorithm based on one of the continuous-time algorithms. Using formulas for tracking the singular value decomposition (SVD) of a time-varying matrix, we show attraction to orthogonality of the matrix representing the subspace estimate, and we analyze the evolution of the canonical angles between the subspace estimate and the subspace to be estimated.
URI: 
ISSN: 1057-7122
Publication status: published
KU Leuven publication type: IT
Appears in Collections:ESAT - STADIUS, Stadius Centre for Dynamical Systems, Signal Processing and Data Analytics
Tutorial services, Faculty of Engineering
× corresponding author
# (joint) last author

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