TY - GEN
T1 - Online dominant generalized eigenvectors extraction via a randomized method
AU - Cai, Haoyuan
AU - Kaloorazi, Maboud F.
AU - Chen, Jie
AU - Chen, Wei
AU - Richard, Cédric
N1 - Publisher Copyright:
© 2021 European Signal Processing Conference, EUSIPCO. All rights reserved.
PY - 2021/1/24
Y1 - 2021/1/24
N2 - The generalized Hermitian eigendecomposition problem is ubiquitous in signal and machine learning applications. Considering the need of processing streaming data in practice and restrictions of existing methods, this paper is concerned with fast and efficient generalized eigenvectors tracking. We first present a computationally efficient algorithm based on randomization termed alternate-projections randomized eigenvalue decomposition (APR-EVD) to solve a standard eigenvalue problem. By exploiting rank-1 strategy, two online algorithms based on APR-EVD are developed for the dominant generalized eigenvectors extraction. Numerical examples show the practical applicability and efficacy of the proposed online algorithms.
AB - The generalized Hermitian eigendecomposition problem is ubiquitous in signal and machine learning applications. Considering the need of processing streaming data in practice and restrictions of existing methods, this paper is concerned with fast and efficient generalized eigenvectors tracking. We first present a computationally efficient algorithm based on randomization termed alternate-projections randomized eigenvalue decomposition (APR-EVD) to solve a standard eigenvalue problem. By exploiting rank-1 strategy, two online algorithms based on APR-EVD are developed for the dominant generalized eigenvectors extraction. Numerical examples show the practical applicability and efficacy of the proposed online algorithms.
KW - Dominant generalized eigenvectors
KW - Fast subspace tracking
KW - Online algorithms
KW - Randomized algorithms
UR - https://www.scopus.com/pages/publications/85099285151
U2 - 10.23919/Eusipco47968.2020.9287345
DO - 10.23919/Eusipco47968.2020.9287345
M3 - 会议稿件
AN - SCOPUS:85099285151
T3 - European Signal Processing Conference
SP - 2353
EP - 2357
BT - 28th European Signal Processing Conference, EUSIPCO 2020 - Proceedings
PB - European Signal Processing Conference, EUSIPCO
T2 - 28th European Signal Processing Conference, EUSIPCO 2020
Y2 - 18 January 2021 through 22 January 2021
ER -