On stochastic approximation of the eigenvectors and eigenvalues of the expectation of a random matrix

Oja, Erkki
Karhunen, Juha

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Publication date

February 1985

DOI

10.1016/0022-247X(85)90131-3

Publisher

Published by Elsevier Inc.

ISSN

0022-247X

Abstract

AbstractIn applications of signal processing and pattern recognition, eigenvectors and eigenvalues of the statistical mean of a random matrix sequence are needed. Iterative methods are suggested and analyzed, in which no sample moments are used. Convergence is shown by stochastic approximation theory

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On stochastic approximation of the eigenvectors and eigenvalues of the expectation of a random matrix

Abstract

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On stochastic approximation of the eigenvectors and eigenvalues of the expectation of a random matrix

Abstract

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