# Sketching for Principal Component Regression

arXiv: https://arxiv.org/abs/1803.02661 · HTML: https://mlsanity.com/paper/1803.02661/

## Key facts

- Cited by 2 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 7 Mar 2018.

## Built on by (most cited first, 2 of 2)

- [De-floored Principal Component Regression: When Rank Selection Alone Is Insufficient for Prediction](https://mlsanity.com/paper/2607.16638/) (2026)
- [On the Noise Sensitivity of the Randomized SVD](https://mlsanity.com/paper/2305.17435/) (2023)

## Abstract (arXiv)

Principal component regression (PCR) is a useful method for regularizing linear regression. Although conceptually simple, straightforward implementations of PCR have high computational costs and so are inappropriate when learning with large scale data. In this paper, we propose efficient algorithms for computing approximate PCR solutions that are, on one hand, high quality approximations to the true PCR solutions (when viewed as minimizer of a constrained optimization problem), and on the other hand entertain rigorous risk bounds (when viewed as statistical estimators). In particular, we propose an input sparsity time algorithms for approximate PCR. We also consider computing an approximate PCR in the streaming model, and kernel PCR. Empirical results demonstrate the excellent performance of our proposed methods.