Stochastic optimization for PCA and PLS

  title={Stochastic optimization for PCA and PLS},
  author={Raman Arora and Andrew Cotter and Karen Livescu and Nathan Srebro},
  journal={2012 50th Annual Allerton Conference on Communication, Control, and Computing (Allerton)},
We study PCA, PLS, and CCA as stochastic optimization problems, of optimizing a population objective based on a sample. We suggest several stochastic approximation (SA) methods for PCA and PLS, and investigate their empirical performance. 

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