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An important problem is the online computation of the eigenvalues of a covariance matrix $\Sigma_T=\sum_{t=1}^T x_tx_t^\top$. After some searching, as far as I can tell, it is not possible to efficiently compute the spectrum of $\Sigma_{T+1}$ after observing a new datapoint $x_{T+1}$, given any decompositions of $\Sigma_{T}$. In other words, there is no "incremental SVD" or Woodbury-type identity for SVD -- most things which use the name incremental SVD in the literature seem (in my search) to be approximate algorithms or approximate updates to the thin SVD.

What's weird is there seems to be some barrier here: for instance, there is an efficient low-rank update to the Cholesky decomposition, but the spectrum of $\Sigma_{T+1}$ is not easy to read off from its Cholesky decomposition. Same goes for the QR decomposition. The spectrum would be easy to read off from the Schur decomposition, but there does not seem to exist an efficient low-rank update for the Schur decomposition.

So, I have 2 questions: first, is my impression that there does not exist an "incremental SVD" accurate? Second, is there an intuition for why this problem should be so hard?

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  • $\begingroup$ This algorithm estimates the Schaffer p-norm. Perhaps it can be modified to estimate the spectrum: arxiv.org/abs/2005.10174. Better estimates would be obtained with additional samples, assuming I.I.d. $\endgroup$
    – NicNic8
    Sep 10, 2021 at 17:40
  • $\begingroup$ I appreciate the comment -- I'm looking for an exact update, if possible, rather than an estimate. $\endgroup$ Sep 10, 2021 at 17:41
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    $\begingroup$ By "encode the spectrum" do you mean find all the eigenvalues? $\endgroup$
    – hardmath
    Sep 10, 2021 at 17:50
  • $\begingroup$ Yes, sorry, should have said that, edited the question. $\endgroup$ Sep 10, 2021 at 17:51
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    $\begingroup$ Thanks. So as you are likely aware, finding all the eigenvalues is essentially the same problem as finding all the roots of a (real) polynomial, and approaches to one of those problems can be applied to the other. In any case there is no practical "exact" expression for the roots in functions of the coefficients of a higher degree polynomial. Now you have in mind an online computation as covariance terms $x^T x$ are added to a (symmetric) matrix. These will in general perturb all the prior eigenvalues. $\endgroup$
    – hardmath
    Sep 10, 2021 at 17:58

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If the prior real symmetric matrix $S$ has been orthogonally diagonalized, then a method for updating that factorization $S = Q\Lambda Q^T$ has been studied in the literature.

Note that $S + xx^T = Q(\Lambda + Q^Txx^T Q)Q^T$, so (up to an orthogonal similarity transformation) the rank-one symmetric update eigenvalue problem is the same as finding the spectrum of a "diagonal-plus-rank-one" (DPR1) matrix. The issue has been addressed here at Math.SE and was posted (although closed as "duplicate") at MathOverflow.

The difficulty lies in a need to compute numerically the new eigenvalues, from which the eigenvectors and (in principle) the updated orthogonal factors can be efficiently calculated. The 1992 paper by Gu and Eisenstat linked above discusses that backward stability of the algorithm in terms of what stopping criterion should be used for any root-finding method. They adopted the "rational interpolation strategy" used earlier by Bunch, Nielsen, and Sorenson (1978) for their numerical experiments, but opine that other methods should work: "What is most important is the stopping criterion...".

More recent work by Stor, Slapničar, and Barlow (2015) proposes "Forward stable eigenvalue decomposition of rank-one modifications of diagonal matrices" with a complexity of $O(n)$ per eigenvalue.

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