Fast and Stable Subspace Tracking

We consider the problem of adaptive subspace tracking, when the rank of the subspace we seek to estimate is assumed to be known. Starting from the data projection method (DPM), which constitutes a simple and reliable means for adaptively estimating and tracking subspaces, we develop a fast and numerically robust implementation of DPM, which comes at a considerably lower computational cost. Most existing schemes track subspaces corresponding either to the largest or to the smallest singular values, while our DPM version can switch from one subspace type to the other with a simple change of sign of its single parameter. The proposed algorithm provides orthonormal vector estimates of the subspace basis that are numerically stable since they do not accumulate roundoff errors. In fact, our scheme constitutes the first numerically stable, low complexity, algorithm for tracking subspaces corresponding to the smallest singular values. Regarding convergence towards orthonormality our scheme exhibits the fastest speed among all other subspace tracking algorithms of similar complexity.