# a question on updating singular value decomposition

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

1. ### YecloudGuest

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

2. ### nkailaGuest

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nkaila, Mar 2, 2008