Optimally Weighted PCA for High-dimensional Heteroscedastic Data

Today I had the opportunity to speak about very recent results by my student David Hong (joint work also with Jeff Fessler) in analyzing asymptotic recovery guarantees for weighted PCA for high-dimensional heteroscedastic data. In the paper we recently posted online, we have asymptotic analysis (as both the number of samples and dimension of the problem grow to infinity, but converge to a fixed constant) of the recovery for weighted PCA components, amplitudes, and scores. Those recovery expressions allow us to find weights that give optimal recovery, and the weights turn out to be a very simple expression involving only the noise variance and the PCA amplitudes. To learn more, watch my talk here, and let us know if you have any questions!

The problem with this method is that after the detailed plan for relocating your body to Dvortsovaya Street has been drawn up, we have nothing more to talk about and all the norms of public ethics demand that we part ways and part ways for good. So the wisest thing to do aff app is to figure out in which direction the beauty is pointing her feet, and try to tail her. Since you are on the road, let her take you to the second right turn towards the Georgian embassy.