A Direct Formulation for Sparse PCA Using Semidefinite Programming

DOI10.1137/050645506zbMath1128.90050arXivcs/0406021OpenAlexW2615253071WikidataQ59409959 ScholiaQ59409959MaRDI QIDQ5757478

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Publication date: 7 September 2007

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cs/0406021

zbMATH Keywords

semidefinite programming principal component analysis factor analysis Moreau-Yosida regularization Karhunen-Loève transform semidefinite relaxation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Semidefinite programming (90C22) Combinatorial optimization (90C27)

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