Single-Pass PCA of Large High-Dimensional Data
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Publication:91640
DOI10.48550/ARXIV.1704.07669arXiv1704.07669MaRDI QIDQ91640FDOQ91640
Authors: Wenjian Yu, Yu Gu, Jian Li, Shenghua Liu, Yaohang Li 
Publication date: 25 April 2017
Abstract: Principal component analysis (PCA) is a fundamental dimension reduction tool in statistics and machine learning. For large and high-dimensional data, computing the PCA (i.e., the singular vectors corresponding to a number of dominant singular values of the data matrix) becomes a challenging task. In this work, a single-pass randomized algorithm is proposed to compute PCA with only one pass over the data. It is suitable for processing extremely large and high-dimensional data stored in slow memory (hard disk) or the data generated in a streaming fashion. Experiments with synthetic and real data validate the algorithm's accuracy, which has orders of magnitude smaller error than an existing single-pass algorithm. For a set of high-dimensional data stored as a 150 GB file, the proposed algorithm is able to compute the first 50 principal components in just 24 minutes on a typical 24-core computer, with less than 1 GB memory cost.
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