| 引用本文: | 黄晓斌,万建伟,王展,等.连续求解样本协方差矩阵迹的快速递推算法.[J].国防科技大学学报,2004,26(2):62-65.[点击复制] |
| HUANG Xiaobin,WAN Jianwei,WANG Zhan,et al.A Fast Recursive Algorithm for Continuously Computing the Trace of the Sample Covariance Matrix[J].Journal of National University of Defense Technology,2004,26(2):62-65[点击复制] |
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| 连续求解样本协方差矩阵迹的快速递推算法 |
| 黄晓斌, 万建伟, 王展, 欧建平 |
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(国防科技大学 电子科学与工程学院，湖南 长沙 410073)
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| 摘要: |
| 为解决当样本数据不断增加时，利用传统方法反复计算样本协方差迹耗时多的缺点，提出了一种快速递推算法。理论分析和仿真试验都表明，算法的时间复杂度比传统的方法降低了一个数量级，从而大大减少了计算时间。 |
| 关键词: 协方差矩阵 时间复杂度 算法 |
| DOI： |
| 投稿日期：2003-09-30 |
| 基金项目: |
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| A Fast Recursive Algorithm for Continuously Computing the Trace of the Sample Covariance Matrix |
| HUANG Xiaobin, WAN Jianwei, WANG Zhan, OU Jianping |
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(College of Electronic Science and Engineering, National Univ. of Defense Technology, Changsha 410073, China)
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| Abstract: |
| In order to resolve the disadvantage that much time is consumed for computing the trace of the sample covariance matrix with the traditional method when the samples continuously increase, a fast recursive algorithm is presented. The theoretical analysis and the simulation results all show that compared with the traditional method, the consuming time with our method is decreased by one order of magnitude, so it can reduce a great deal of computing time. |
| Keywords: covariance matrix time complexity algorithm |
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