Randomized Online PCA Algorithms with Regret Bounds that are Logarithmic in the Dimension
Manfred K. Warmuth, Dima Kuzmin; 9(Oct):2287--2320, 2008.
We design an online algorithm for Principal Component Analysis. In each trial the current instance is centered and projected into a probabilistically chosen low dimensional subspace. The regret of our online algorithm, that is, the total expected quadratic compression loss of the online algorithm minus the total quadratic compression loss of the batch algorithm, is bounded by a term whose dependence on the dimension of the instances is only logarithmic.
We first develop our methodology in the expert setting of online learning by giving an algorithm for learning as well as the best subset of experts of a certain size. This algorithm is then lifted to the matrix setting where the subsets of experts correspond to subspaces. The algorithm represents the uncertainty over the best subspace as a density matrix whose eigenvalues are bounded. The running time is O(n2) per trial, where n is the dimension of the instances.