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Square-root Householder subspace tracking

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Abstract

A class of singular value decomposition (SVD)-type subspace trackers based on the overdetermined row-Householder principle is introduced. These algorithms are maximally fast with a dominant operations count of 3Nr multiplications per time update. They can be regarded as square-root forms of previously introduced conventional fast subspace trackers and offer interesting features such as perfectly orthonormal basis estimates, lowest dynamic range requirements, and highest numerical robustness and stability. Several variants of the method are proposed and studied 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. Square-root Householder subspace tracking. Numer. Math. 113, 89–121 (2009). https://doi.org/10.1007/s00211-009-0229-3

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  • DOI: https://doi.org/10.1007/s00211-009-0229-3

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