The sparse principal component analysis problem: optimality conditions and algorithms
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Publication:306306
DOI10.1007/S10957-016-0934-XzbMATH Open1376.90061arXiv1507.08029OpenAlexW2337119602MaRDI QIDQ306306FDOQ306306
Authors: Yakov Vaisbourd, Amir Beck 
Publication date: 31 August 2016
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Abstract: Sparse principal component analysis addresses the problem of finding a linear combination of the variables in a given data set with a sparse coefficients vector that maximizes the variability of the data. This model enhances the ability to interpret the principal components, and is applicable in a wide variety of fields including genetics and finance, just to name a few. We suggest a necessary coordinate-wise-based optimality condition, and show its superiority over the stationarity-based condition that is commonly used in the literature, and which is the basis for many of the algorithms designed to solve the problem. We devise algorithms that are based on the new optimality condition, and provide numerical experiments that support our assertion that algorithms, which are guaranteed to converge to stronger optimality conditions, perform better than algorithms that converge to points satisfying weaker optimality conditions.
Full work available at URL: https://arxiv.org/abs/1507.08029
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- Certifiably optimal sparse principal component analysis
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- Sparse principal component analysis via fractional function regularity
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- Sparse PCA: optimal rates and adaptive estimation
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- A solution approach for cardinality minimization problem based on fractional programming
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