Online PCA for multivariate and functional data using perturbation methods, low-rank incremental methods, and stochastic optimization methods.
Changes to Version 1.3
Added function bsoipca: Block Stochastic Orthogonal Iteration. A block-wise stochastic variant of the classical power-method. Reference: Mitliagkas et al. (2013).
Added function incRpca.block that generalizes the vector update of incRpca to matrix updates. Reference: Levy and Lindenbaum (2000).
Minor modification in function incRpca for compatibility of results with incRpca.block. The covariance update is now C = (1-f) * UDU' + f * xx' where f is the forgetting factor (default 1/n), U the current PC, D the diagonal matrix of eigenvalues, and x the (eventually centered) new data vector.
Same modification as above (weights in covariance update) in functions perturbationRpca and secularRpca.
Extended function batchpca to perform batch PCA of data matrix by Implicitly Restarted Arnoldi Method (IRAM). Based on function svds of package rARPACK.
Changes to Version 1.2
Added function ccipca implementing the candid-covariance free incremental PCA algorithm of Weng et al. (2003).
Added function ghapca implementing the Generalized Hebbian Algorithm of Sanger (1989).
Minor modifications to code of function sgapca.
Added argument q to functions ghapca, sgapca, and snlpca for specifying number of PC to compute.
Changes to Version 1.1
Added function incRpca.rc for incremental PCA with reduced complexity.
Removed code related to missing data imputation from functions incRpca, perturbationRpca, secularRpca, sgapca, snlpca.
Added function impute to handle missing data using BLUP.
Minor modifications to code of function incRpca.
Removed argument d (eigenvalues) from function snlpca as the related technique was found unsuitable for eigenvalue calculation.
Added reference to Bunch et al. (1978) to secularRpca help page, removed reference to Li et al. (2000)
Changed status of package rARPACK from import to dependency.
Changes to Version 1.0-1
Fixed bug in incRpca, perturbationRpca, secularRpca, sgapca, snlpca related to missing data.
Added references to Brand (2002) in help pages of incRpca, perturbationRpca, secularRpca, sgapca, snlpca.
Added Hervé Cardot as contributor.