Non-Stationary Streaming PCA
Published 2019-02-08Version 1
We consider the problem of streaming principal component analysis (PCA) when the observations are noisy and generated in a non-stationary environment. Given $T$, $p$-dimensional noisy observations sampled from a non-stationary variant of the spiked covariance model, our goal is to construct the best linear $k$-dimensional subspace of the terminal observations. We study the effect of non-stationarity by establishing a lower bound on the number of samples and the corresponding recovery error obtained by any algorithm. We establish the convergence behaviour of the noisy power method using a novel proof technique which maybe of independent interest. We conclude that the recovery guarantee of the noisy power method matches the fundamental limit, thereby generalizing existing results on streaming PCA to a non-stationary setting.