AAAI Publications, Thirtieth AAAI Conference on Artificial Intelligence

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Stochastic Optimization for Kernel PCA
Lijun Zhang, Tianbao Yang, Jinfeng Yi, Rong Jin, Zhi-Hua Zhou

Last modified: 2016-03-02


Kernel Principal Component Analysis (PCA) is a popular extension of PCA which is able to find nonlinear patterns from data. However, the application of kernel PCA to large-scale problems remains a big challenge, due to its quadratic space complexity and cubic time complexity in the number of examples. To address this limitation, we utilize techniques from stochastic optimization to solve kernel PCA with linear space and time complexities per iteration. Specifically, we formulate it as a stochastic composite optimization problem, where a nuclear norm regularizer is introduced to promote low-rankness, and then develop a simple algorithm based on stochastic proximal gradient descent. During the optimization process, the proposed algorithm always maintains a low-rank factorization of iterates that can be conveniently held in memory. Compared to previous iterative approaches, a remarkable property of our algorithm is that it is equipped with an explicit rate of convergence. Theoretical analysis shows that the solution of our algorithm converges to the optimal one at an O(1/T) rate, where T is the number of iterations.


Stochastic Optimization; Kernel PCA; Stochastic Proximal Gradient Descent; Low-rank

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