How to Play the PCA Game

Introduction

The paper EigenGame: PCA as a Nash Equilibrium was published at ICLR 2021. The authors, Ian Gemp, Brian McWilliams, Claire Vernade, and Thore Graepel, introduced a decentralized algorithm for PCA via a game-theoretic analysis. Not only is the approach novel, but the algorithm also has amazing scalability – able to perform PCA on ResNet-200 activations!