PCA of high dimensional random walks with comparison to neural network training

One technique to visualize the training of neural networks is to perform PCA on
the parameters over the course of training and to project to the subspace spanned
by the first few PCA components. In this paper we compare this technique to the
PCA of a high dimensional random walk. We compute the eigenvalues and eigenvectors
of the covariance of the trajectory and prove that in the long trajectory
and high dimensional limit most of the variance is in the first few PCA components,
and that the projection of the trajectory onto any subspace spanned by PCA
components is a Lissajous curve. We generalize these results to a random walk
with momentum and to an Ornstein-Uhlenbeck processes (i.e., a random walk in
a quadratic potential) and show that in high dimensions the walk is not mean reverting,
but will instead be trapped at a fixed distance from the minimum. We
finally compare the distribution of PCA variances and the PCA projected training
trajectories of a linear model trained on CIFAR-10 and ResNet-50-v2 trained on
Imagenet and find that the distribution of PCA variances resembles a random walk
with drift.

• Algorithms and Theory

• Machine Intelligence