Sparse non Gaussian component analysis by semidefinite programming

DOI10.1007/S10994-013-5331-1zbMATH Open1273.68297arXiv1106.0321OpenAlexW2027136216WikidataQ57392889 ScholiaQ57392889MaRDI QIDQ374189FDOQ374189

Authors: Elmar Diederichs, Arkadi Nemirovski, V. G. Spokoiny, Anatoli Juditsky 

Publication date: 22 October 2013

Published in: Machine Learning (Search for Journal in Brave)

Abstract: Sparse non-Gaussian component analysis (SNGCA) is an unsupervised method of extracting a linear structure from a high dimensional data based on estimating a low-dimensional non-Gaussian data component. In this paper we discuss a new approach to direct estimation of the projector on the target space based on semidefinite programming which improves the method sensitivity to a broad variety of deviations from normality. We also discuss the procedures which allows to recover the structure when its effective dimension is unknown.

Full work available at URL: https://arxiv.org/abs/1106.0321

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zbMATH Keywords

dimension reductionfeature extractionnon-Gaussian components analysis

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Learning and adaptive systems in artificial intelligence (68T05) Semidefinite programming (90C22)

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Cited In (6)

• A new algorithm of non-Gaussian component analysis with radial kernel functions
• In search of non-Gaussian components of a high-dimensional distribution
• Robust discriminative clustering with sparse regularizers
• A one-sample test for normality with kernel methods
• Non-Negative Principal Component Analysis: Message Passing Algorithms and Sharp Asymptotics
• High-dimensional analysis of semidefinite relaxations for sparse principal components

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