A time-varying Newton algorithm for adaptive subspace tracking

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.

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Year of publication:	2008
Authors:	Baumann, M. ; Helmke, U.
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 79.2008, 4, p. 1324-1345
Publisher:	Elsevier
Subject:	Adaptive subspace tracking \| Eigenvalue methods \| Newton algorithm \| Riemannian metrics \| Grassmann manifolds

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010748911