The Modified Increment Method for Eigenspace Model

Eigenspace is a convenient way to represent sets of observations with widespread applications, so it is necessary to accurately calculate the eigenspace of data. With the advent of the era of big data, the increasing and updating of data bring great challenges to the solution of eigenspace. Hall, et al. [1], proposed that the incremental method could update the eigenspace of data online, which reduces computational costs and storage space. In this paper, the updating coefficient of the sample covariance matrix in an incremental method is modified. Numerical analysis shows that the modified updating form has better performance.