Principal Component Projection with Low-Degree Polynomials

Stephen D. Farnham, Lixin Shen, Bruce W. Suter

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, we consider approximations of principal component projection (PCP) without explicitly computing principal components. This problem has been studied in several recent works. The main feature of existing approaches is viewing the PCP matrix as a matrix function. This underlying function is the composition of a step function with a rational function. To find an approximate PCP, the step function is approximated by a polynomial while the rational function is evaluated by a fast ridge regression solver. In this work, we further improve this process by replacing the rational function with carefully constructed polynomials of low degree. We characterize the properties of polynomials that are suitable for approximating PCP, and then establish an optimization problem to select the optimal one from those polynomials. We show theoretically and confirm numerically that the resulting approximate PCP approach with optimal polynomials is indeed effective for approximations of principal component projection.

Original languageEnglish (US)
Article number52
JournalJournal of Scientific Computing
Volume85
Issue number2
DOIs
StatePublished - Nov 2020

Keywords

  • Chebyshev polynomial
  • PCA
  • Principal component projection

ASJC Scopus subject areas

  • Software
  • Theoretical Computer Science
  • Numerical Analysis
  • Engineering(all)
  • Computational Theory and Mathematics
  • Computational Mathematics
  • Applied Mathematics

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