The constrained stochastic matched filter subspace tracking

Abstract

This paper introduces a new fast algorithm named CSMFST which estimates the p-dimensional optimal subspace, i.e. where the signal-to-noise ratio is maximized in the case of n-dimensional nonstationary signals. We assume that we treat both signal and noise which are characterized by their samples. This algorithm is an SP-type algorithm and uses the same principles as the Yet Another Subspace Tracking (YAST) algorithm when estimating the covariance matrices. At each step, it estimates a matrix which spans the optimal subspace.