Fast Stochastic Algorithms for SVD and PCA: Convergence Properties and Convexity

@inproceedings{Shamir2016FastSA,
  title={Fast Stochastic Algorithms for SVD and PCA: Convergence Properties and Convexity},
  author={Ohad Shamir},
  booktitle={ICML},
  year={2016}
}
We study the convergence properties of the VRPCA algorithm introduced by (Shamir, 2015) for fast computation of leading singular vectors. We prove several new results, including a formal analysis of a block version of the algorithm, and convergence from random initialization. We also make a few observations of independent interest, such as how pre-initializing with just a single exact power iteration can significantly improve the analysis, and what are the convexity and nonconvexity properties… CONTINUE READING
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