Algorithm 1.

Pseudocode for the eigen-decomposition variant of the fast PCA, based on the randomized algorithm of [5] for the case where . is the standardization in Equation 4. is a function generating an iid multivariate normal matrix, is the user-defined number of extra dimensions, is the QR decomposition, is a function that divides each column by its norm , is the eigen-decomposition producing the -top eigenvectors and vector of -top eigenvalues . is the matrix of principal components.