From: borchers@rainbow.nmt.edu (Brian Borchers)
Subject: Re: updating the SVD
Date: 6 Apr 2000 17:26:17 GMT
Newsgroups: sci.math.num-analysis
Summary: [missing]

Christof Vömel <voemel@NOSPAM.cerfacs.fr> wrote:
>Is there anything known how to 
>
>update the SVD/the pseudoinverse 
>
>when appending rows or columns to a matrix?
>Thanks for your help.
>C.V.

Yes there is.  See section 3.4 of Bjorck's book, Numerical Methods for
Least Squares Problems.  Unfortunately, the best available algorithms
run in O(n^3) time, so this isn't nearly as fast as updating other
matrix factorizations.

Golub and Van Loan, Matrix Computations, 3rd ed. has a nice discussion of
a technique for tracking the null space as you update the matrix.  This
can be done more efficiently then just updating the SVD.  


-- 
Brian Borchers                              borchers@nmt.edu
Department of Mathematics                   http://www.nmt.edu/~borchers/
New Mexico Tech                             Phone: 505-835-5813
Socorro, NM 87801                           FAX: 505-835-5366