Revisiting adaptive signal subspace estimation based on Rayleigh's quotient

Abstract

We propose a new adaptive algorithm for subspace estimation and tracking that is based on Rayleigh's quotient. This algorithm allows the estimation of the signal subspace of a vector sequence. It has a number of interesting properties such as a low computational complexity, a fast convergence, orthogonality of the subspace vectors which is ensured at each iteration and a good numerical stability. The proposed algorithm outperforms Oja's algorithm.