84 research outputs found
The Noisy Power Method: A Meta Algorithm with Applications
We provide a new robust convergence analysis of the well-known power method
for computing the dominant singular vectors of a matrix that we call the noisy
power method. Our result characterizes the convergence behavior of the
algorithm when a significant amount noise is introduced after each
matrix-vector multiplication. The noisy power method can be seen as a
meta-algorithm that has recently found a number of important applications in a
broad range of machine learning problems including alternating minimization for
matrix completion, streaming principal component analysis (PCA), and
privacy-preserving spectral analysis. Our general analysis subsumes several
existing ad-hoc convergence bounds and resolves a number of open problems in
multiple applications including streaming PCA and privacy-preserving singular
vector computation.Comment: NIPS 201
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