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Poster
Stochastic PCA with $\ell_2$ and $\ell_1$ Regularization
Poorya Mianjy · Raman Arora

Wed Jul 11 09:15 AM -- 12:00 PM (PDT) @ Hall B #17
We revisit convex relaxation based methods for stochastic optimization of principal component analysis (PCA). While methods that directly solve the nonconvex problem have been shown to be optimal in terms of statistical and computational efficiency, the methods based on convex relaxation have been shown to enjoy comparable, or even superior, empirical performance -- this motivates the need for a deeper formal understanding of the latter. Therefore, in this paper, we study variants of stochastic gradient descent for a convex relaxation of PCA with (a) $\ell_2$, (b) $\ell_1$, and (c) elastic net ($\ell_1+\ell_2)$ regularization in the hope that these variants yield (a) better iteration complexity, (b) better control on the rank of the intermediate iterates, and (c) both, respectively. We show, theoretically and empirically, that compared to previous work on convex relaxation based methods, the proposed variants yield faster convergence and improve overall runtime to achieve a certain user-specified $\epsilon$-suboptimality on the PCA objective. Furthermore, the proposed methods are shown to converge both in terms of the PCA objective as well as the distance between subspaces. However, there still remains a gap in computational requirements for the proposed methods when compared with existing nonconvex approaches.

#### Author Information

##### Raman Arora (Johns Hopkins University)

Raman Arora received his M.S. and Ph.D. degrees in Electrical and Computer Engineering from the University of Wisconsin-Madison in 2005 and 2009, respectively. From 2009-2011, he was a Postdoctoral Research Associate at the University of Washington in Seattle and a Visiting Researcher at Microsoft Research Redmond. Since 2011, he has been with Toyota Technological Institute at Chicago (TTIC). His research interests include machine learning, speech recognition and statistical signal processing.