EFFICIENT, NUMERICALLY STABILIZED RANK-ONE EIGENSTRUCTURE UPDATING

Rank-one eigenvalue decomposition (EVD) updating is well suited to the problem of tracking time-varying subspaces. Previously published rank-one EVD updating algorithms suffer from a linear buildup of roundoff error which makes them impractical for large numbers of recursive updates. The main contribution of this paper is the development of a numerical stabilization technique which eliminates the error buildup problem in a computationally efficient manner and makes the rank-one EVD update a practical numerical tool for online computation. A simplified eigenvalue iteration is also given which reduces the complexity of the algorithm somewhat as well as the computation time. Simulations are presented to illustrate numerical performance. © 1990 IEEE