An Iterative Algorithm for Differentially Private $k$-PCA with Adaptive Noise

Johanna Düngler, Amartya Sanyal

Given $n$ i.i.d. random matrices $A_i\in {\mathbb{R}}^{d\times d}$ that share a common expectation $\Sigma$, the objective of Differentially Private Stochastic PCA is to identify a subs…