SILO



The weekly SILO Seminar Series is made possible through the generous support of the 3M Company and its Advanced Technology Group

3M

with additional support from the Analytics Group of the Northwestern Mutual Life Insurance Company

Northwestern Mutual

Online Identification and Tracking of Subspaces from Highly Incomplete Information

Laura Bolzano, Student with Prof. Nowak

Date and Time: Sep 15, 2010 (12:30 PM)
Location: Orchard room (3280) at the Wisconsin Institute for Discovery Building

Abstract:

This talk presents GROUSE (Grassmanian Rank-One Update Subspace Estimation), an efficient online algorithm for tracking subspaces from highly incomplete observations. GROUSE requires only basic linear algebraic manipulations at each iteration, and each subspace update can be performed in linear time in the dimension of the subspace. The algorithm is derived by analyzing incremental gradient descent on the Grassmannian manifold of subspaces. With a slight modification, GROUSE can also be used as an online incremental algorithm for the matrix completion problem of imputing missing entries of a low-rank matrix. GROUSE performs exceptionally well in practice both in tracking subspaces and as an online algorithm for matrix completion.