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Stochastic Optimization of PCA with Capped MSG

2020-01-16 | |  57 |   37 |   0

Abstract

We study PCA as a stochastic optimization problem and propose a novel stochastic approximation algorithm which we refer to as “Matrix Stochastic Gradient” (MSG), as well as a practical variant, Capped MSG. We study the method both theoretically and empirically.

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