Robust Frequent Directions with Application in Online Learning

Understand

The frequent directions (FD) technique is a deterministic approach for online sketching that has many applications in machine learning.

• The conventional FD is a heuristic procedure that often outputs rank deficient matrices.
• To overcome the rank deficiency problem, we propose a new sketching strategy called robust frequent directions (RFD) by introducing a regularization term.
• RFD can be derived from an optimization problem.