[scikit-learn] Update or downgrade PCA

[Pamphile Roy]

Hi everyone,

I have some code that allows to upgrade (or downgrade) a PCA with a new
sample.
The update part is handy when you are doing live observations for instance
and you want a quick way to update your PCA without having to recompute the
whole thing from scratch.

Are you interested in this? (For me or someone else to integrate it.)

Code is open-source (from my Batman project) and can be found here:

https://gitlab.com/cerfacs/batman/blob/develop/batman/pod/pod.py

Functions of interest are _upgrade and downgrade.
Although, the code should be cleaned up, it works well and it got some unit
tests.

Of course the math is backed-up by some literature:

[1] M. Brand: Fast low-rank modifications of the thin singular value
decomposition.
2006. DOI:10.1016/j.laa.2005.07.021

[2] T. Braconnier: Towards an adaptive POD/SVD surrogate model for
aeronautic design.
Computers & Fluids. 2011. DOI:10.1016/j.compfluid.2010.09.002

Cheers,

Pamphile
@tupui
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