text: Nonlinear component analysis such as kernel Principle Component Analysis (KPCA) and kernel Canonical Correlation Analysis (KCCA) are widely used in machine learning, statistics and data analysis, but they can not scale up to big datasets. Recent attempts have employed random feature approximations to convert the problem to the primal form for linear computational complexity. However, to obtain high quality solutions, the number of random features should be the same order of magnitude as the number of data points, making such approach not directly applicable to the regime with millions of data points. We propose a simple, computationally efficient, and memory friendly algorithm based on the "doubly stochastic gradients" to scale up a range of kernel nonlinear component analysis, such as kernel PCA, CCA and SVD. Despite the nature of these problems, our method enjoys theoretical guarantees that it converges at the rate @math to the global optimum, even for the top @math eigen subspace. Unlike many alternatives, our algorithm does not require explicit orthogonalization, which is infeasible on big datasets. We demonstrate the effectiveness and scalability of our algorithm on large scale synthetic and real world datasets.
  @cite_22: 
  @cite_1: We introduce two methods to improve convergence of the Kernel Hebbian Algorithm (KHA) for iterative kernel PCA. KHA has a scalar gain parameter which is either held constant or decreased as 1 t, leading to slow convergence. Our KHA et algorithm accelerates KHA by incorporating the reciprocal of the current estimated eigenvalues as a gain vector. We then derive and apply Stochastic Meta-Descent (SMD) to KHA et; this further speeds convergence by performing gain adaptation in RKHS. Experimental results for kernel PCA and spectral clustering of USPS digits as well as motion capture and image de-noising problems confirm that our methods converge substantially faster than conventional KHA.
  @cite_3: Abstraet--A new approach to unsupervised learning in a single-layer linear feedforward neural network is discussed. An optimality principle is proposed which is based upon preserving maximal information in the output units. An algorithm for unsupervised learning based upon a Hebbian learning rule, which achieves the desired optimality is presented, The algorithm finds the eigenvectors of the input correlation matrix, and it is proven to converge with probability one. An implementation which can train neural networks using only local "synaptic" modification rules is described. It is shown that the algorithm is closely related to algorithms in statistics (Factor Analysis and Principal Components Analysis) and neural networks (Self-supervised Backpropagation, or the "encoder" problem). It thus provides an explanation of certain neural network behavior in terms of" classical statistical techniques. Examples of the use of a linear network for solving image coding and texture segmentation problems are presented. Also, it is shown that the algorithm can be used to find "visual receptive fields'" which are qualitatively similar to those found in primate retina and visual cortex.
  @cite_0: The kernel principal component analysis (KPCA) has been applied in numerous image-related machine learning applications and it has exhibited superior performance over previous approaches, such as PCA. However, the standard implementation of KPCA scales badly with the problem size, making computations for large problems infeasible. Also, the "batch" nature of the standard KPCA computation method does not allow for applications that require online processing. This has somewhat restricted the domains in which KPCA can potentially be applied. This paper introduces an incremental computation algorithm for KPCA to address these two problems. The basis of the proposed solution lies in computing incremental linear PCA in the kernel induced feature space, and constructing reduced-set expansions to maintain constant update speed and memory usage. We also provide experimental results which demonstrate the effectiveness of the approach
  @cite_23: Kernel principal component analysis (kernel-PCA) is an elegant nonlinear extension of one of the most used data analysis and dimensionality reduction techniques, the principal component analysis. In this paper, we propose an online algorithm for kernel-PCA. To this end, we examine a kernel-based version of Oja's rule, initially put forward to extract a linear principal axe. As with most kernel-based machines, the model order equals the number of available observations. To provide an online scheme, we propose to control the model order. We discuss theoretical results, such as an upper bound on the error of approximating the principal functions with the reduced-order model. We derive a recursive algorithm to discover the first principal axis, and extend it to multiple axes. Experimental results demonstrate the effectiveness of the proposed approach, both on synthetic data set and on images of handwritten digits, with comparison to classical kernel-PCA and iterative kernel-PCA.
  @cite_5: 
  @cite_10: We consider a situation in which we see samples in @math drawn i.i.d. from some distribution with mean zero and unknown covariance A. We wish to compute the top eigenvector of A in an incremental fashion - with an algorithm that maintains an estimate of the top eigenvector in O(d) space, and incrementally adjusts the estimate with each new data point that arrives. Two classical such schemes are due to Krasulina (1969) and Oja (1983). We give finite-sample convergence rates for both.
  @cite_20: In recent years, kernel principal component analysis (KPCA) has been suggested for various image processing tasks requiring an image model such as, e.g., denoising or compression. The original form of KPCA, however, can be only applied to strongly restricted image classes due to the limited number of training examples that can be processed. We therefore propose a new iterative method for performing KPCA, the kernel Hebbian algorithm, which iteratively estimates the kernel principal components with only linear order memory complexity. In our experiments, we compute models for complex image classes such as faces and natural images which require a large number of training examples. The resulting image models are tested in single-frame super-resolution and denoising applications. The KPCA model is not specifically tailored to these tasks; in fact, the same model can be used in super-resolution with variable input resolution, or denoising with unknown noise characteristics, in spite of this, both super-resolution and denoising performance are comparable to existing methods.
  @cite_11: We study PCA as a stochastic optimization problem and propose a novel stochastic approximation algorithm which we refer to as "Matrix Stochastic Gradient" (MSG), as well as a practical variant, Capped MSG. We study the method both theoretically and empirically.
summary: Online algorithms for PCA have a long history. Oja proposed two stochastic update rules for approximating the first eigenvector and provided convergence proof in @cite_22 @cite_5 , respectively. These rules have been extended to the generalized Hebbian update rules @cite_3 @cite_1 @cite_10 that compute the top @math eigenvectors (the subspace case). Similar ones have also been derived from the perspective of optimization and stochastic gradient descent @cite_1 @cite_11 . They are further generalized to the kernel case @cite_20 @cite_0 @cite_23 . However, online kernel PCA needs to store all the training data, which is impractical for large datasets. Our doubly stochastic method avoids this problem by using random features and keeping only a small program for regenerating previously used random features according to pre-specified seeds. As a result, it can scale up to tens of millions of data points.