a question on updating singular value decomposition

Discussion in 'General Math' started by Yecloud, Feb 24, 2008.

  1. Yecloud

    Yecloud Guest

    Hi all,

    I have a question on how to incrementally update singular value
    decomposition (SVD).
    There is a linear system
    A*x =b;
    where A is a square matrix but possibly to be singular. Each time, the
    matrix A and RHS
    vector b can be updated as
    A = A + w*v';
    b = b + u;
    where w, v and u are vectors.

    To solve this linear system, I thought that SVD might be good to
    handle the case that
    A is singular. However, a batch SVD seems to be costly as it is
    carried out after each
    update of A and b. I'm wondering if there is any incremental algorithm
    to update SVD
    of A and thus to save some efforts in solving this system in each
    step?

    Thanks,
    Cloud
     
    Yecloud, Feb 24, 2008
    #1
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  2. Yecloud

    nkaila Guest

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    nkaila, Mar 2, 2008
    #2
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