Sparse PCA: convex relaxations, algorithms and applications
From MaRDI portal
Publication:2802550
Abstract: Given a sample covariance matrix, we examine the problem of maximizing the variance explained by a linear combination of the input variables while constraining the number of nonzero coefficients in this combination. This is known as sparse principal component analysis and has a wide array of applications in machine learning and engineering. Unfortunately, this problem is also combinatorially hard and we discuss convex relaxation techniques that efficiently produce good approximate solutions. We then describe several algorithms solving these relaxations as well as greedy algorithms that iteratively improve the solution quality. Finally, we illustrate sparse PCA in several applications, ranging from senate voting and finance to news data.
Recommendations
- Optimal solutions for sparse principal component analysis
- A Direct Formulation for Sparse PCA Using Semidefinite Programming
- Generalized power method for sparse principal component analysis
- Clustering and feature selection using sparse principal component analysis
- An exact approach to sparse principal component analysis
Cites work
- scientific article; zbMATH DE number 3850830 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A Direct Formulation for Sparse PCA Using Semidefinite Programming
- Cones of Matrices and Set-Functions and 0–1 Optimization
- Decoding by Linear Programming
- Generalized power method for sparse principal component analysis
- High-dimensional analysis of semidefinite relaxations for sparse principal components
- Interior Point Methods in Semidefinite Programming with Applications to Combinatorial Optimization
- Introductory lectures on convex optimization. A basic course.
- Low-rank approximations with sparse factors. I: Basic algorithms and error analysis
- Matrix Analysis
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Numerical methods for large eigenvalue problems
- Optimal solutions for sparse principal component analysis
- Smoothing technique and its applications in semidefinite optimization
- Sparse Approximate Solutions to Linear Systems
- Sparse nonnegative solution of underdetermined linear equations by linear programming
- Testing the nullspace property using semidefinite programming
- The varimax criterion for analytic rotation in factor analysis
Cited in
(30)- scientific article; zbMATH DE number 6765491 (Why is no real title available?)
- Projection algorithms for nonconvex minimization with application to sparse principal component analysis
- Truncated power method for sparse eigenvalue problems
- Sparse PCA: optimal rates and adaptive estimation
- Generalized power method for sparse principal component analysis
- Majorization-Minimization on the Stiefel Manifold With Application to Robust Sparse PCA
- Clustering and feature selection using sparse principal component analysis
- [HDDA] sparse subspace constrained partial least squares
- A sparse decomposition of low rank symmetric positive semidefinite matrices
- Convex approximations to sparse PCA via Lagrangian duality
- Solving sparse principal component analysis with global support
- Understanding large text corpora via sparse machine learning
- A Direct Formulation for Sparse PCA Using Semidefinite Programming
- Principal component analysis with weighted sparsity constraint
- Alternating direction method of multipliers for penalized zero-variance discriminant analysis
- Sparse PCA on fixed-rank matrices
- An \(\ell_1\)-penalized adaptive normalized quasi-Newton algorithm for sparsity-aware generalized eigen-subspace tracking
- Using \(\ell_1\)-relaxation and integer programming to obtain dual bounds for sparse PCA
- The sparse principal component analysis problem: optimality conditions and algorithms
- A guide for sparse PCA: model comparison and applications
- Sparse Variable PCA Using Geodesic Steepest Descent
- High-dimensional analysis of semidefinite relaxations for sparse principal components
- Recovering PCA and sparse PCA via hybrid-\((\ell_1,\ell_2)\) sparse sampling of data elements
- Optimal solutions for sparse principal component analysis
- scientific article; zbMATH DE number 7625166 (Why is no real title available?)
- Sparsistency and agnostic inference in sparse PCA
- Bayesian variable selection for globally sparse probabilistic PCA
- A Decomposition Augmented Lagrangian Method for Low-Rank Semidefinite Programming
- Rate-optimal posterior contraction for sparse PCA
- Sparse learning via Boolean relaxations
This page was built for publication: Sparse PCA: convex relaxations, algorithms and applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2802550)
