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

DOI10.1007/s11222-023-10229-zzbMath1516.62018arXiv2104.00512OpenAlexW4361029344MaRDI QIDQ6172918

Xin Liang

Publication date: 20 July 2023

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.00512

zbMATH Keywords

stochastic approximationprincipal component analysishigh-dimensional dataOja's algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Online algorithms; streaming algorithms (68W27)

Cites Work

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• Minimax sparse principal subspace estimation in high dimensions
• Matrix Analysis
• Numerical Methods for Computing Angles Between Linear Subspaces
• Nearly optimal stochastic approximation for online principal subspace estimation

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