Alternating direction method of multipliers for sparse principal component analysis
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Publication:457552
DOI10.1007/s40305-013-0016-9zbMath1336.62160arXiv1111.6703MaRDI QIDQ457552
Publication date: 29 September 2014
Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1111.6703
semidefinite programming; deflation; augmented Lagrangian method; alternating direction method; projection onto the simplex; sparse PCA
62H25: Factor analysis and principal components; correspondence analysis
62H30: Classification and discrimination; cluster analysis (statistical aspects)
65K05: Numerical mathematical programming methods
90C22: Semidefinite programming
90C25: Convex programming
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Uses Software
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