Projection algorithms for nonconvex minimization with application to sparse principal component analysis
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Publication:312468
DOI10.1007/S10898-016-0402-ZzbMATH Open1353.90118arXiv1404.4132OpenAlexW2299651280MaRDI QIDQ312468FDOQ312468
Authors: William Hager, Dzung T. Phan, Jiajie Zhu 
Publication date: 15 September 2016
Published in: Journal of Global Optimization (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1404.4132
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nonconvex minimizationsparse principal component analysisBarzilai-Borwein methodgradient projectionapproximate Newton
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Cited In (15)
- Projected gradient approach to the numerical solution of the SCoTLASS
- On the robust PCA and Weiszfeld's algorithm
- Alternating Projections and Douglas-Rachford for Sparse Affine Feasibility
- A generalized inertial proximal alternating linearized minimization method for nonconvex nonsmooth problems
- On the Solution of ℓ0-Constrained Sparse Inverse Covariance Estimation Problems
- An active-set proximal quasi-Newton algorithm for ℓ1-regularized minimization over a sphere constraint
- A customized proximal point algorithm for stable principal component pursuit with nonnegative constraint
- Non-Negative Principal Component Analysis: Message Passing Algorithms and Sharp Asymptotics
- Title not available (Why is that?)
- Proximal Methods for Sparse Optimal Scoring and Discriminant Analysis
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- Linear Convergence of a Proximal Alternating Minimization Method with Extrapolation for \(\boldsymbol{\ell_1}\) -Norm Principal Component Analysis
- Random projections for the nonnegative least-squares problem
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