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Fast and stable YAST algorithm for principal and minor subspace tracking

Abstract : This paper presents a new implementation of the YAST algorithm for principal and minor subspace tracking. YAST was initially derived from the Subspace Projection (SP) algorithm by C.E. Davila, which was known for its exceptional convergence rate, compared to other classical principal subspace trackers. The novelty in the YAST algorithm was the lower computational cost (linear if the data correlation matrix satisfies a so-called shift-invariance property), and the extension to minor subspace tracking. However, the original implementation of the YAST algorithm suffered from a numerical stability problem (the subspace weighting matrix slowly loses its orthonormality). We thus propose in this paper a new implementation of YAST, whose stability is established theoretically and tested via numerical simulations. This algorithm combines all the desired properties for a subspace tracker: remarkably high convergence rate, lowest steady state error, linear complexity, and numerical stability regarding the orthonormality of the subspace weighting matrix.
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https://hal.inria.fr/hal-00945194
Contributor : Roland Badeau <>
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Roland Badeau, Gael Richard, Bertrand David. Fast and stable YAST algorithm for principal and minor subspace tracking. IEEE_J_SP, IEEE, 2008, 56 (8), pp.3437--3446. ⟨hal-00945194⟩

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