arXiv · 2026
Variance-Reduced Streaming PCA with Parameter-Free Momentum
TL;DR: Oja's algorithm for streaming PCA is noisy because every step uses a rank-one gradient. VR-OJA keeps a bias-corrected moving average of those gradients, with a parameter-free momentum default β⋆ = 1 − k/p. It cuts final subspace error by 22–27% over OJA-QR on synthetic streams, and on the S&P 500 benchmark gives 24–47% error reduction at 10× the base learning rate.

