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Exponentially convergent stochastic k-PCA without variance reduction

2020-02-21 | |  71 |   48 |   0

Abstract

We present Matrix Krasulina, an algorithm for online k-PCA, by generalizing the classic Krasulina’s method [1] from vector to matrix case. We show, both theoretically and empirically, that the algorithm naturally adapts to data lowrankness and converges exponentially fast to the ground-truth principal subspace. Notably, our result suggests that despite various recent efforts to accelerate the convergence of stochastic-gradient based methods by adding a O(n)-time variance reduction step, for the k-PCA problem, a truly online SGD variant suffices to achieve exponential convergence on intrinsically low-rank data.

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