How to Play the PCA Game

Anonymous

Keywords: PCA, Nash Equilibrium, Eigenvector, Eigenvalue

Abstract: 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 by showing that with the right utility functions, PCA is the same as finding the Nash equilibrium. This blog reviews the key ideas for the argument, such as the hierarchy of eigenvectors and objectives for PCA.

ICLR Paper: https://openreview.net/forum?id=NzTU59SYbNq