Nearly optimal stochastic approximation for online principal subspace estimation

DOI10.1007/s11425-021-1972-5zbMath1515.65027arXiv1711.06644WikidataQ114222406 ScholiaQ114222406MaRDI QIDQ6041665

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Publication date: 12 May 2023

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.06644

zbMATH Keywords

stochastic approximationprincipal component analysishigh-dimensional dataonline algorithmfinite-sample analysisprincipal component subspace

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Numerical solutions to stochastic differential and integral equations (65C30)

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On the optimality of the Oja's algorithm for online PCA

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