An augmented Lagrangian approach for sparse principal component analysis (Q715084)
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scientific article; zbMATH DE number 6093777
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| English | An augmented Lagrangian approach for sparse principal component analysis |
scientific article; zbMATH DE number 6093777 |
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An augmented Lagrangian approach for sparse principal component analysis (English)
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15 October 2012
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The authors present a new approach for sparse principal component analysis (PCA) which is a successful method for data analysis and dimension reduction. They relate their approach to a new augmented Lagrange method for solving a family of nonsmooth constrained optimization problems. Finally, a sophisticated number of numerical test results show the advantages of this approach.
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sparse PCA
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augmented Lagrangian method
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nonmonotone gradient methods
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nonsmooth optimization
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0.821806013584137
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0.8058496713638306
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0.8055259585380554
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0.7991520762443542
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0.796627402305603
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