Features/1458 add incremental SVD/PCA

[mrfh92]

Due Diligence

• General:
  • [X] title of the PR is suitable to appear in the Release Notes
• Implementation:
  • [x] unit tests: all split configurations tested
  • [x] unit tests: multiple dtypes tested
  • [x] documentation updated where needed

Description

Issue/s resolved: #1458 (Should be merged after #1561 as it already contains these changes)

Changes proposed:

Adds incremental SVD (see M. Brand, Fast low-rank modifications of the thin singular value decomposition, Linear Algebra and its Applications 415 (2006)) and corresponding interface for PCA

Type of change

new feature

Does this change modify the behaviour of other functions? If so, which?

no