Projected gradient approach to the numerical solution of the SCoTLASS

DOI10.1016/J.CSDA.2004.07.017MaRDI QIDQ959150zbMATH OpenOpenAlexFDO

Authors Nickolay T. Trendafilov, Ian T. Jolliffe

Publication date 11 December 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2004.07.017

zbMATH Keywords

principal component analysisconstrained optimizationoptimality conditionspenalty functiongradient dynamical system on manifoldsLasso constraintsimple structure componentssteepest ascent vector flows

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• scientific article; zbMATH DE number 3484411 (Why is no real title available?)
• scientific article; zbMATH DE number 1324524 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 3385439 (Why is no real title available?)
• A new approach to variable selection in least squares problems
• Gradient algorithms for principal component analysis
• Least squares matching problems
• Principal component analysis.
• The Geometry of Algorithms with Orthogonality Constraints
• The MATLAB ODE Suite

Cited in

(15)

• From simple structure to sparse components: a review
• DALASS: variable selection in discriminant analysis via the LASSO
• Multi-step perturbation solution of nonlinear differentiable equations applied to an econometric analysis of productivity
• Alternating maximization: unifying framework for 8 sparse PCA formulations and efficient parallel codes
• Sparse exploratory factor analysis
• Stepwise estimation of common principal components
• Editorial: Statistical learning methods including dimensionality reduction
• A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis
• Recipes for sparse LDA of horizontal data
• An exact approach to sparse principal component analysis
• A 50-year personal journey through time with principal component analysis
• Least squares sparse principal component analysis: a backward elimination approach to attain large loadings
• Simple and interpretable discrimination
• Sparse principal component analysis in Hilbert space
• Sparse CCA using a lasso with positivity constraints

Describes a project that uses

Uses Software

• MATLAB ODE suite
• ode23s
• ode113
• Ode15s
• ode45
• ode23
• Matlab

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