Sparse Subspace Tracking in High Dimensions
Le Trung Thanh, Karim Abed‐Meraim, Adel Hafiane, Nguyen Linh Trung · ICASSP 2022 - 2022 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) · 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.