Nonlinear eigenvector algorithms for local optimization in multivariate data analysis
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The paper considers matrix approximation problems arising in several statistical applications of multivariate data analysis, in particular in reduced rank approximation problems. The paper surveys several local optimization algorithms and discusses convergence properties of an iterative algorithm for a related nonlinear eigenproblem of the form \(R(x)x= \lambda S(x)x\). Several applications as weighted least squares scaling with \(\ell_p\)-distances are discussed.
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Cited in
(8)- Optimal scaling by alternating length-constrained nonnegative least squares, with application to distance-based analysis
- Eigensolver Methods for Progressive Multidimensional Scaling of Large Data
- Nonlinear eigenvector methods for convex minimization over the numerical range
- Nonlinear eigenproblems in data analysis: balanced graph cuts and the RatioDCA-Prox
- An eigenvector pattern arising in nonlinear regression
- Sharp estimation of convergence rate for self-consistent field iteration to solve eigenvector-dependent nonlinear eigenvalue problems
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