Hi everyone, I have some code that allows to upgrade (or downgrade) a PCA with a new sample. The update part is handy when you are doing live observations for instance and you want a quick way to update your PCA without having to recompute the whole thing from scratch.
Are you interested in this? (For me or someone else to integrate it.) Code is open-source (from my Batman project) and can be found here: https://gitlab.com/cerfacs/batman/blob/develop/batman/pod/pod.py Functions of interest are _upgrade and downgrade. Although, the code should be cleaned up, it works well and it got some unit tests. Of course the math is backed-up by some literature: [1] M. Brand: Fast low-rank modifications of the thin singular value decomposition. 2006. DOI:10.1016/j.laa.2005.07.021 [2] T. Braconnier: Towards an adaptive POD/SVD surrogate model for aeronautic design. Computers & Fluids. 2011. DOI:10.1016/j.compfluid.2010.09.002 Cheers, Pamphile @tupui
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