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Bayesian and geometric subspace tracking

Published online by Cambridge University Press:  01 July 2016

Anuj Srivastava*
Affiliation:
Florida State University
Eric Klassen*
Affiliation:
Florida State University
*
Postal address: Department of Statistics, Florida State University, Tallahassee, FL 32306, USA. Email address: [email protected]
∗∗ Postal address: Department of Mathematics, Florida State University, Tallahassee, FL 32306, USA.

Abstract

We address the problem of tracking the time-varying linear subspaces (of a larger system) under a Bayesian framework. Variations in subspaces are treated as a piecewise-geodesic process on a complex Grassmann manifold and a Markov prior is imposed on it. This prior model, together with an observation model, gives rise to a hidden Markov model on a Grassmann manifold, and admits Bayesian inferences. A sequential Monte Carlo method is used for sampling from the time-varying posterior and the samples are used to estimate the underlying process. Simulation results are presented for principal subspace tracking in array signal processing.

Type
Stochastic Geometry and Statistical Applications
Copyright
Copyright © Applied Probability Trust 2004 

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