This work presents GROUSE (Grassmanian Rank-One Update Subspace Estimation),
an efficient online algorithm for tracking subspaces from highly incomplete
observations. GROUSE requires only basic linear algebraic manipulations at each
iteration, and each subspace update can be performed in linear time in the
dimension of the subspace...
The algorithm is derived by analyzing incremental
gradient descent on the Grassmannian manifold of subspaces. With a slight
modification, GROUSE can also be used as an online incremental algorithm for
the matrix completion problem of imputing missing entries of a low-rank matrix. GROUSE performs exceptionally well in practice both in tracking subspaces and
as an online algorithm for matrix completion.