Online Principal Component Analysis in High Dimension: Which Algorithm to Choose?

11 Nov 2015Hervé CardotDavid Degras

In the current context of data explosion, online techniques that do not require storing all data in memory are indispensable to routinely perform tasks like principal component analysis (PCA). Recursive algorithms that update the PCA with each new observation have been studied in various fields of research and found wide applications in industrial monitoring, computer vision, astronomy, and latent semantic indexing, among others... (read more)

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