I am looking for a R package that implements Incremental PCA (online version of PCA)
Is there anybody that knows a piece of code that implements such algorithm?
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I have been searching for a solution to a related problem a while back
So, in essence, you want an implementation of an online algorithm to carry QR decomposition of a rank $p$ matrix $A$ (or equivalently to do a series of rank one update to the QR decomposition of $A$).
A function to do rank one update to a
QR decomposition is well implemented in
matlab, but inexplicably, does not seem to exist in