SEQUENTIAL EM LEARNING FOR SUBSPACE ANALYSIS

Subspace analysis (which includes PCA) seeks for feature subspace (which corresponds to the eigenspace), given multivariate input data and has been widely used in computer vision and pattern recognition. Typically data space belongs to very high dimension, but only a few principal components need to be extracted. In this paper I present a fast sequential algorithm for subspace analysis or tracking. Useful behavior of the algorithm is confirmed by numerical experiments.