I'm considering writing packages for the following online (i.e. updating models on the fly as new data arrives) techniques, but this functionality might exist already, or there might be a package that I should contribute to instead of writing my own:
- Online PCA (such as "Candid covariance-free incremental principal component analysis") - Online flexible least squares (time-varying regression weights) - Online support vector machines/regressions Are there any packages that might have this functionality, or even a good framework that I could/should add to? Does anyone else have a need for these algorithms?
