online PCA in python

Question

Does anyone know a python library which has online PCA estimations (something similar to what is described in this paper online PCA)

Does it make sense to use the sklearn.decomposition.IncrementalPCA method with batch_size =1.

Answer 1

You can check this out:

https://github.com/flatironinstitute/online_psp

It is not exactly PCA since components might be not orthogonal (you can easily orthogonalize them at need, there is also an object method to do so)

Cheers

DISCLAIMER: I am one of the developers of this project.