A time-varying Newton algorithm for adaptive subspace tracking

M. Baumann and U. Helmke

Mathematics and Computers in Simulation (MATCOM), 2008, vol. 79, issue 4, 1324-1345

Abstract: We propose a general framework for tracking the zeros of a time-varying gradient vector field on Riemannian manifolds. Thus, a differential equation, called the time-varying Newton flow, is introduced, whose solutions asymptotically converge to a time-varying family of critical points of the corresponding cost function. A discretization of the differential equation leads to a recursive update scheme for the time-varying critical point.

Keywords: Adaptive subspace tracking; Eigenvalue methods; Newton algorithm; Riemannian metrics; Grassmann manifolds (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:79:y:2008:i:4:p:1324-1345

DOI: 10.1016/j.matcom.2008.03.006

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