Recursive updating the eigenvalue decomposition of a covariance matrix.
Kai-Bor YuPublished in: IEEE Trans. Signal Process. (1991)
Keyphrases
- covariance matrix
- symmetric matrix
- eigenvalue decomposition
- pseudo inverse
- covariance matrices
- laplacian matrix
- principal component analysis
- least squares
- blind source separation
- sample size
- positive definite
- correlation matrix
- gaussian mixture
- feature space
- spectral clustering
- feature representation
- low dimensional
- objective function
- semidefinite programming
- semidefinite
- estimation error
- np hard