Low-rank adaptive filters

We introduce a class of adaptive filters based on sequential adaptive eigendecomposition (subspace tracking) of the data covariance matrix. These new algorithms are completely rank revealing, and hence, they can perfectly handle the following two relevant data cases where conventional recursive least squares (RLS) methods fail to provide satisfactory results: 1) highly oversampled ''smooth'' data with rank deficient or almost rank deficient covariance matrix and 2) noise-corrupted data where a signal must be separated effectively from superimposed noise, This paper contradicts the widely held belief that rank revealing algorithms must be computationally more demanding than conventional recursive least squares, A spatial RLS adaptive filter has a complexity of O(N-2) operations per time step, where N is the fitter order, The corresponding low-rank adaptive filter requires only O(N tau) operations per time step, where tau less than or equal to N denotes the rank of the data covariance matrix, Thus, low-rank adaptive filters can be computationally less (or even much less) demanding, depending on the order/rank ratio N/tau or the compressibility of the signal, Simulation results substantiate our claims, This paper is the first in a series of papers devoted to the theory and application of fast orthogonal iteration and hi-iteration subspace tracking algorithms.