An Alternative Algorithm for a Sliding Window ULV Decomposition

摘要

The ULV decomposition (ULVD) is an important member of a class of rank-revealing two-sided orthogonal decompositions used to approximate the singular value decomposition (SVD). The ULVD can be modified much faster than the SVD. When modifiying the ULVD, the accurate computation of the sub-spaces is required in certain time varying applications in signal processing. In this paper, we present an updating algorithm which is suitable for large scaled matrices of low rank and as effective as alternatives. The algorithm runs in O(n~2) time.