Analysis of a class of continuous-time algorithms for principal component analysis and subspace tracking

作     者：Dehaene, J Moonen, M Vandewalle, J 

作者机构：Katholieke Univ Leuven ESAT SISTA Lab B-3001 Heverlee Belgium 

出 版 物：《IEEE TRANSACTIONS ON CIRCUITS AND SYSTEMS I-FUNDAMENTAL THEORY AND APPLICATIONS》 (IEEE Trans Circuits Syst I Fundam Theor Appl)

年 卷 期：1999年第46卷第3期

页      面：364-372页

核心收录：

基　　金：F.W.O 

主　　题：canonical angles continuous-time algorithms persistent excitation principal component analysis singular value tracking subspace tracking 

摘      要：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.