Quasi-Newton algorithm for adaptive minor component extraction
Shan Ouyang, P.C. Ching, Tan Lee · Electronics Letters · 2002
An adaptive quasi-Newton algorithm is first developed to extract a single minor component corresponding to the smallest eigenvalue of a stationary sample covariance matrix. Deflation technique instead of the commonly used inflation method is then applied to extract the higher-order minor components. The algorithm enjoys the advantage of having a simpler computational complexity and a highly modular and parallel structure for efficient implementation. Simulation results are given to demonstrate the effectiveness of the proposed algorithm for extracting multiple minor components adaptively.