Fast algorithm for adaptive estimation of principal and minor components

With the penalty function method, a novel information criterion has been developed for searching the desired eigen-components. The estimation of principal and minor eigen-components is governed by a penalty factor, and a unified algorithm is devised that is capable of fast estimation of both the principal and minor components. Simulation results show that the new algorithm has a fast convergence rate when compared with the gradient-based fixed step-size algorithm for extracting principal and minor components.