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Updating the principal angle decomposition

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Abstract

A class of fast Householder-based sequential algorithms for updating the Principal Angle Decomposition is introduced. The updated Principal Angle Decomposition is of key importance in the adaptive implementation of several fundamental operations on correlated processes, such as adaptive Wiener filtering, rank-adaptive system identification, and rank and data compression concepts using canonical coordinates. An instructive example of rank-adaptive system identification is examined experimentally.

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  1. AST-Consulting Inc., Bahnsteig 6, 94133, Röhrnbach, Germany

    Peter Strobach

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  1. Peter Strobach
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Correspondence to Peter Strobach.

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Strobach, P. Updating the principal angle decomposition. Numer. Math. 110, 83–112 (2008). https://doi.org/10.1007/s00211-008-0156-8

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  • DOI: https://doi.org/10.1007/s00211-008-0156-8

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