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- W4313597915 abstract "Oja's algorithm of principal component analysis (PCA) has been one of the methods utilized in practice to reduce dimension. In this paper, we focus on the convergence property of the discrete algorithm. To realize that, we view the algorithm as a stochastic process on the parameter space and semi-group. We approximate it by SDEs, and prove large time convergence of the SDEs to ensure its performance. This process is completed in three steps. First, the discrete algorithm can be viewed as a semigroup: $S^kvarphi=mathbb{E}[varphi(mathbf W(k))]$. Second, we construct stochastic differential equations (SDEs) on the Stiefel manifold, i.e. the diffusion approximation, to approximate the semigroup. By proving the weak convergence, we verify that the algorithm is 'close to' the SDEs. Finally, we use the reversibility of the SDEs to prove long-time convergence." @default.
- W4313597915 created "2023-01-06" @default.
- W4313597915 creator A5010491128 @default.
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- W4313597915 date "2023-01-03" @default.
- W4313597915 modified "2023-10-01" @default.
- W4313597915 title "Diffusion approximations of Oja's online principal component analysis" @default.
- W4313597915 doi "https://doi.org/10.48550/arxiv.2301.01339" @default.
- W4313597915 hasPublicationYear "2023" @default.
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