SPARSE SUBSPACE TRACKING IN HIGH DIMENSIONS
Trung Thanh Le, Karim Abed-Meraim, Adel Hafiane, Linh Trung Nguyen
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12 May 2022
We studied the problem of sparse subspace tracking in the high-dimensional regime where the dimension is comparable to or much larger than the sample size. Leveraging power iteration and thresholding methods, a new provable algorithm called OPIT was derived for tracking the sparse principal subspace of data streams over time. We also presented a theoretical result on its convergence to verify its consistency in high dimensions. Several experiments were carried out on both synthetic and real data to demonstrate the effectiveness of OPIT.