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For questions involving calculation or interpretation of eigenvalues or eigenvectors.

1 vote
1 answer
1k views

What is the fastest way to calculate the leading singular value of a very large matrix (10ml...

I only know of the following power iteration. But it needs to create a huge matrix A'*A when both of rows and columns are pretty large. And A is a dense matrix as well. Is there any alternative to pow …
17 votes
1 answer
7k views

What is principal subspace in probabilistic PCA?

if $X$ is observed data matrix and $Y$ is latent variable then $$X=WY+\mu+\epsilon$$ Where $\mu$ is the mean of observed data, and $\epsilon$ is the Gaussian error/noise in data, and $W$ is called …