sparsepca (Q43273)

Fits principal components with sparse loading vectors for interpretable dimension reduction. Variable projection combines an orthogonal reconstruction factor with elastic net or cardinality regularization of the loadings. Deterministic, randomized, and robust algorithms support exploratory analysis of high-dimensional data; the randomized algorithm also supports sparse input matrices through implicit centering and scaling. A robust formulation separates entrywise outliers from the low-rank reconstruction. Regularization paths and approximate feature-count searches reuse matrix factorizations, and prediction applies the fitted transformation to new observations. The methods are described in Erichson et al. (2020) <doi:10.1137/18M1211350>.