Fast approximate subspace tracking (FAST)

A new fast and accurate algorithm for tracking singular values, singular vectors and the dimension of the signal subspace through an overlapping sequence of data matrices is presented. The accuracy of the algorithm approaches that of the Prony-Lanczos (PL) method [1] with speed and accuracy superior to both the PAST and PASTd algorithms [2] for moderate to large size problems. The algorithm is described for the special case of changes to two columns of the matrix prior to each update of principal singular vectors and values. Comparisons of speed and accuracy are made with the algorithms named above.