Iterative Aggregation Method for Solving Principal Component Analysis Problems

Motivated by the previously developed multilevel aggregation method for solving structural analysis problems a novel two-level aggregation approach for efficient iterative solution of Principal Component Analysis (PCA) problems is proposed. The course aggregation model of the original covariance matrix is used in the iterative solution of the eigenvalue problem by a power iterations method. The method is tested on several data sets consisting of large number of text documents.