The Fast Convergence of Incremental PCA

January 15, 2015 ยท Declared Dead ยท ๐Ÿ› Neural Information Processing Systems

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Authors Akshay Balsubramani, Sanjoy Dasgupta, Yoav Freund arXiv ID 1501.03796 Category cs.LG: Machine Learning Cross-listed stat.ML Citations 148 Venue Neural Information Processing Systems Last Checked 3 months ago
Abstract
We consider a situation in which we see samples in $\mathbb{R}^d$ drawn i.i.d. from some distribution with mean zero and unknown covariance A. We wish to compute the top eigenvector of A in an incremental fashion - with an algorithm that maintains an estimate of the top eigenvector in O(d) space, and incrementally adjusts the estimate with each new data point that arrives. Two classical such schemes are due to Krasulina (1969) and Oja (1983). We give finite-sample convergence rates for both.
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