Incremental kernel PCA and the Nyström method

Abstract: Incremental versions of batch algorithms are often desired, for increased time efficiency in the streaming data setting, or increased memory efficiency in general. In this paper we present a novel algorithm for incremental kernel PCA, based on rank one updates to the eigendecomposition of the kernel matrix, which is more computationally efficient than comparable existing algorithms. We extend our algorithm to incremental calculation of the Nystr\"om approximation to the kernel matrix, the first such algorithm proposed. Incremental calculation of the Nystr\"om approximation leads to further gains in memory efficiency, and allows for empirical evaluation of when a subset of sufficient size has been obtained.