ROIPCA: An Online PCA algorithm based on rank-one updates

11/25/2019

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by   Roy Mitz, et al.

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Principal components analysis (PCA) is a fundamental algorithm in data analysis. Its online version is useful in many modern applications where the data are too large to fit in memory, or when speed of calculation is important. In this paper we propose ROIPCA, an online PCA algorithm based on rank-one updates. ROIPCA is linear in both the dimension of the data and the number of components calculated. We demonstrate its advantages over existing state-of-the-art algorithms in terms of accuracy and running time.