Projection algorithms for nonconvex minimization with application to sparse principal component analysis
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Abstract: We consider concave minimization problems over non-convex sets.Optimization problems with this structure arise in sparse principal component analysis. We analyze both a gradient projection algorithm and an approximate Newton algorithm where the Hessian approximation is a multiple of the identity. Convergence results are established. In numerical experiments arising in sparse principal component analysis, it is seen that the performance of the gradient projection algorithm is very similar to that of the truncated power method and the generalized power method. In some cases, the approximate Newton algorithm with a Barzilai-Borwein (BB) Hessian approximation can be substantially faster than the other algorithms, and can converge to a better solution.
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Cited in
(18)- Random projections for the nonnegative least-squares problem
- On the robust PCA and Weiszfeld's algorithm
- A customized proximal point algorithm for stable principal component pursuit with nonnegative constraint
- Low-complexity l₀-norm penalized shrinkage linear and widely linear affine projection algorithms
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- Proximal Methods for Sparse Optimal Scoring and Discriminant Analysis
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