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 目: Convergence Analysis of the Oja-Karhunen Algorithm for Principal Component Analysis


报告人:梁鑫 (清华大学丘成桐数学科学中心


摘 要:Processing streaming data as they arrive is often necessary for high dimensional data analysis. In this talk, we analyze the convergence of a subspace online PCA iteration. Under the sub-Gaussian assumption, we obtain the finite-sample error bound that closely matches the minimax information lower bound by Vu and Lei [Ann. Statist. 41:6(2013), 2905-2947]. The case for the most significant principal component only, was solved by Li, Wang, Liu, and Zhang [Math. Program., Ser. B, 167:1(2018), 75-97], but a straightforward extension of their proofs, however, does not seem to work for the subspace case. People may see matrix analysis plays an important role in generalizing results for one-dimensional case to those for multi-dimensional case.

时 间:2019年5月26日(星期日) 10:00




邀请人:郭朕臣 老师