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Recursive updating the eigenvalue decomposition of a covariance matrix

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1 Author(s)
Kai-Bor Yu ; Gen. Electr. Co., Schenectady, NY, USA

The author addresses the problem of computing the eigensystem of the modified Hermitian matrix, given the prior knowledge of the eigensystem of the original Hermitian matrix. Specifically, an additive rank-k modification corresponding to adding and deleting blocks of data to and from the covariance matrix is considered. An efficient and parallel algorithm which makes use of a generalized spectrum-slicing theorem is derived for computing the eigenvalues. The eigenvector can be computed explicitly in terms of the solution of a much-reduced (k ×k) homogeneous Hermitian system. The overall computational complexity is shown to be improved by an order of magnitude from O(N3) to O(N 2k), where N×N is the size of the covariance matrix. It is pointed out that these ideas can be applied to adaptive signal processing applications, such as eigen-based techniques for frequency or angle-of-arrival estimation and tracking. Specifically, adaptive versions of the principal eigenvector method and the total least squares method are derived

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Signal Processing, IEEE Transactions on  (Volume:39 ,  Issue: 5 )