doing PCA on very large data set in R
bigdata, pca, r
Solution
The way I solved it was by calculating the sample covariance matrix iteratively. In this way you only need a subset of the data for any point in time. Reading in just a subset of the data can be done using `readLines` where you open a connection to the file and read iteratively. The algorithm looks something like (it is a two-step algorithm):
Calculate the mean values per column (assuming that are the variables)
- Open file connection (`con = open(...)`)
- Read 1000 lines (`readLines(con, n = 1000)`)
- Calculate sums of squares per column
- Add those sums of squares to a variable (`sos_column = sos_column + new_sos`)
- Repeat 2-4 until end of file.
- Divide by number of rows minus 1 to get the mean.
Calculate the covariance matrix:
- Open file connection (`con = open(...)`)
- Read 1000 lines (`readLines(con, n = 1000)`)
- Calculate all cross-products using `crossprod`
- Save those crossproducts in a variable
- Repeat 2-4 until end of file.
- divide by the number of rows minus 1 to get the covariance.
When you have the covariance matrix, just call `princomp` with `covmat = your_covmat` and `princomp` will skip calulating the covariance matrix himself.
In this way the datasets you can process are much, much larger than your available RAM. During the iterations, the memory usage is roughly the memory the chunk takes (e.g. 1000 rows), after that the memory usage is limited to the covariance matrix (nvar * nvar doubles).
Problem
I have a very large training set (~2Gb) in a CSV file. The file is too large to read directly into memory (`read.csv()` brings the computer to a halt) and I would like to reduce the size of the data file using PCA. The problem is that (as far as I can tell) I need to read the file into memory in order to run a PCA algorithm (e.g., `princomp()`). I have tried the `bigmemory` package to read the file in as a `big.matrix`, but `princomp` doesn't function on `big.matrix` objects and it doesn't seem like `big.matrix` can be converted into something like a `data.frame`. Is there a way of running `princomp` on a large data file that I'm missing? I'm a relative novice at R, so some of this may be obvious to more seasoned users (apologies in avance). Thanks for any info.