Two algorithms for fast approximate subspace tracking

New fast algorithms are presented for tracking singular values, singular vectors, and the dimension of a signal subspace through an overlapping sequence of data matrices. The basic algorithm is called fast approximate subspace tracking (FAST). The algorithm is derived for the special case in which the matrix is changed by deleting the oldest column, shifting the remaining columns to the left, and adding a new column on the right. A second algorithm (FAST2) is specified by modifying FAST to trade reduced accuracy for higher speed. The speed and accuracy are compared with the PL algorithm, the PAST and PASTd algorithms, and the FST algorithm. An extension to multicolumn updates for the FAST algorithm is also discussed.