Incremental Principal Component Analysis

Incremental implementation of the principal component analysis (PCA).

Incremental implementation of the principal component analysis (PCA).
The algorithm updates the transformation coefficients matrix on-line for each
new sample, without the need to keep all the samples in memory.
The algorithm is formally equivalent to the usual batch version, in the sense
that given a sample set the transformation coefficients at the end of the
process are the same. The implications of applying the PCA in real time are discussed with the
help of data analysis examples (a sample set is uploaded together with the examples)

The software and the examples are described in: https://arxiv.org/pdf/1901.07922v1.pdf