Oja's Algorithm for Streaming Sparse PCA

• URL: http://arxiv.org/abs/2402.07240v5
• Date: Sun, 10 Nov 2024 04:33:34 GMT
• Title: Oja's Algorithm for Streaming Sparse PCA
• Authors: Syamantak Kumar, Purnamrita Sarkar,
• Abstract summary: Oja's algorithm for Streaming Principal Component Analysis (PCA) for $n$ data-points in a $d$ dimensional space achieves the same sin-squared error $O(r_mathsfeff/n)$ as the offline algorithm in $O(d)$ space and $O(nd)$ time. We show that a simple single-pass procedure that thresholds the output of Oja's algorithm can achieve the minimax error bound under some regularity conditions in $O(d)$ space and $O(nd)$ time.
• Score: 7.059472280274011
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• Abstract: Oja's algorithm for Streaming Principal Component Analysis (PCA) for $n$ data-points in a $d$ dimensional space achieves the same sin-squared error $O(r_{\mathsf{eff}}/n)$ as the offline algorithm in $O(d)$ space and $O(nd)$ time and a single pass through the datapoints. Here $r_{\mathsf{eff}}$ is the effective rank (ratio of the trace and the principal eigenvalue of the population covariance matrix $\Sigma$). Under this computational budget, we consider the problem of sparse PCA, where the principal eigenvector of $\Sigma$ is $s$-sparse, and $r_{\mathsf{eff}}$ can be large. In this setting, to our knowledge, \textit{there are no known single-pass algorithms} that achieve the minimax error bound in $O(d)$ space and $O(nd)$ time without either requiring strong initialization conditions or assuming further structure (e.g., spiked) of the covariance matrix. We show that a simple single-pass procedure that thresholds the output of Oja's algorithm (the Oja vector) can achieve the minimax error bound under some regularity conditions in $O(d)$ space and $O(nd)$ time. We present a nontrivial and novel analysis of the entries of the unnormalized Oja vector, which involves the projection of a product of independent random matrices on a random initial vector. This is completely different from previous analyses of Oja's algorithm and matrix products, which have been done when the $r_{\mathsf{eff}}$ is bounded.

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