Distributed Estimation for Principal Component Analysis: an Enlarged Eigenspace Analysis

TL;DR

This paper introduces a communication-efficient distributed algorithm for estimating the top-L eigenspace in PCA without requiring eigengap assumptions, suitable for large-scale data analysis.

Contribution

A novel multi-round distributed PCA algorithm that leverages shift-and-invert preconditioning and convex optimization, removing restrictions on the number of machines.

Findings

Achieves fast convergence rate in distributed setting

No restriction on the number of machines for the algorithm

Demonstrates effectiveness through simulation studies

Abstract

The growing size of modern data sets brings many challenges to the existing statistical estimation approaches, which calls for new distributed methodologies. This paper studies distributed estimation for a fundamental statistical machine learning problem, principal component analysis (PCA). Despite the massive literature on top eigenvector estimation, much less is presented for the top-$L$-dim ($L>1$) eigenspace estimation, especially in a distributed manner. We propose a novel multi-round algorithm for constructing top-$L$-dim eigenspace for distributed data. Our algorithm takes advantage of shift-and-invert preconditioning and convex optimization. Our estimator is communication-efficient and achieves a fast convergence rate. In contrast to the existing divide-and-conquer algorithm, our approach has no restriction on the number of machines. Theoretically, the traditional Davis-Kahan theorem requires the explicit eigengap assumption to estimate the top-$L$-dim eigenspace. To abandon this eigengap assumption, we consider a new route in our analysis: instead of exactly identifying the top-$L$-dim eigenspace, we show that our estimator is able to cover the targeted top-$L$-dim population eigenspace. Our distributed algorithm can be applied to a wide range of statistical problems based on PCA, such as principal component regression and single index model. Finally, We provide simulation studies to demonstrate the performance of the proposed distributed estimator.