Low-rank adaptive filters

Abstract

We introduce a class of adaptive filters based on sequential adaptive eigendecomposition (subspace tracking) of the data covariance matrix. These new algorithms are completely rank revealing, and hence, they can perfectly handle the following two relevant data cases where conventional recursive least squares (RLS) methods fail to provide satisfactory results: (1) highly oversampled smooth data with rank deficient of almost rank deficient covariance matrix and (2) noise-corrupted data where a signal must be separated effectively from superimposed noise. This paper contradicts the widely held belief that rank revealing algorithms must be computationally more demanding than conventional recursive least squares. A spatial RLS adaptive filter has a complexity of O(N/sup 2/) operations per time step, where N is the filter order. The corresponding low-rank adaptive filter requires only O(Nr) operations per time step, where r/spl les/N denotes the rank of the data covariance matrix. Thus, low-rank adaptive filters can be computationally less (or even much less) demanding, depending on the order/rank ratio N/r or the compressibility of the signal. Simulation results substantiate our claims. This paper is devoted to the theory and application of fast orthogonal iteration and bi-iteration subspace tracking algorithms.