Bi-iteration SVD subspace tracking algorithms

Abstract

We present a class of fast subspace tracking algorithms that arise from a straightforward extension of Bauer's (1957) classical bi-iteration to the sequential processing case. The bi-iteration concept has an unexpected potential in subspace tracking. Our new bi-SVD subspace trackers are well structured and show excellent convergence properties. They outperform the TQR-SVD subspace tracking algorithm. Detailed comparisons confirm our claims. An application to rank and data adaptive signal reconstruction is also discussed.