Stochastic Optimization of PCA with Capped MSG

Raman Arora; Andy Cotter; Nati Srebro

Stochastic Optimization of PCA with Capped MSG

Part of: Advances in Neural Information Processing Systems 26 (NIPS 2013)

[PDF] [BibTeX] [Supplemental] [Reviews]

Authors

Raman Arora
Andy Cotter
Nati Srebro

Conference Event Type: Poster

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. "