EigenGame: PCA as a Nash Equilibrium
Authors: Ian Gemp, Brian McWilliams, Claire Vernade, Thore Graepel
Venue: ICLR 2021 Oral
Keywords: pca, principal components analysis, nash, games, eigendecomposition, svd, singular value decomposition
Abstract: We present a novel view on principal components analysis as a competitive game in which each approximate eigenvector is controlled by a player whose goal is to maximize their own utility function. We analyze the properties of this PCA game and the behavior of its gradient based updates. The resulting algorithm---which combines elements from Oja's rule with a  generalized Gram-Schmidt orthogonalization---is naturally decentralized and hence parallelizable through message passing. We demonstrate the scalability of the algorithm with experiments on large image datasets and neural network activations. We discuss how this new view of PCA as a differentiable game can lead to further algorithmic developments and insights.