Fast algorithms for updating signal subspaces

DOI10.1109/82.318942zbMath0832.65149OpenAlexW2132855061MaRDI QIDQ4849380

Hongyuan Zha, Guang-Han Xu, Gene H. Golub, Thomas Kailath

Publication date: 5 March 1996

Published in: IEEE Transactions on Circuits and Systems II: Analog and Digital Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/82.318942

zbMATH Keywords

noisecomputational complexitysingular value decompositionLanczos algorithmeigendecompositionsignal estimation and detectionupdating signal subspaces

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Signal detection and filtering (aspects of stochastic processes) (60G35) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Complexity and performance of numerical algorithms (65Y20) Probabilistic methods, stochastic differential equations (65C99)

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