YAST Algorithm for Minor Subspace Tracking

Roland Badeau (1) , Bertrand David (1) , Gael Richard (1)

1 LTCI - Laboratoire Traitement et Communication de l'Information

This paper introduces a new algorithm for tracking the minor subspace of the correlation matrix associated with time series. This algorithm is shown to have a better convergence rate than existing methods. Moreover, it guarantees the orthonormality of the subspace weighting matrix at each iteration, and reaches a linear complexity.

Domains: Physics [physics]; Mechanics [physics]; Acoustics [physics.class-ph]; Engineering Sciences [physics]; Acoustics [physics.class-ph]

Roland Badeau, Bertrand David, Gael Richard. YAST Algorithm for Minor Subspace Tracking. International Conference on Acoustics, Speech, and Signal Processing ICASSP'06, 2006, Toulouse, France. pp.552-555. ⟨hal-00479782⟩