[scikit-learn] Update or downgrade PCA
roy.pamphile at gmail.com
Tue Jul 3 04:41:30 EDT 2018
I have some code that allows to upgrade (or downgrade) a PCA with a new
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:
Functions of interest are _upgrade and downgrade.
Although, the code should be cleaned up, it works well and it got some unit
Of course the math is backed-up by some literature:
 M. Brand: Fast low-rank modifications of the thin singular value
 T. Braconnier: Towards an adaptive POD/SVD surrogate model for
Computers & Fluids. 2011. DOI:10.1016/j.compfluid.2010.09.002
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