A Stochastic PCA and SVD Algorithm with an Exponential Convergence Rate

author: Ohad Shamir, Faculty of Mathematics and Computer Science, Weizmann Institute of Science
published: Dec. 5, 2015,   recorded: October 2015,   views: 1845

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We describe and analyze a simple algorithm for principal component analysis and singular value decomposition, VR-PCA, which uses computationally cheap stochastic iterations, yet converges exponentially fast to the optimal solution. In contrast, existing algorithms suffer either from slow convergence, or computationally intensive iterations whose runtime scales with the data size. The algorithm builds on a recent variance-reduced stochastic gradient technique, which was previously analyzed for strongly convex optimization, whereas here we apply it to an inherently non-convex problem, using a very different analysis.

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