Convex approximations to sparse PCA via Lagrangian duality

DOI10.1016/j.orl.2010.11.005zbMath1207.90082OpenAlexW2056630835MaRDI QIDQ631218

Ronny Luss, Marc Teboulle

Publication date: 22 March 2011

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2010.11.005

zbMATH Keywords

convex programmingsparse principal component analysisLagrangian duality

Mathematics Subject Classification ID

Quadratic programming (90C20) Optimality conditions and duality in mathematical programming (90C46)

Related Items

Projection algorithms for nonconvex minimization with application to sparse principal component analysis ⋮ PCA Sparsified ⋮ Complexity and nonlinear semidefinite programming reformulation of \(\ell_1\)-constrained nonconvex quadratic optimization ⋮ Alternating direction method of multipliers for penalized zero-variance discriminant analysis ⋮ Projections onto the intersection of a one-norm ball or sphere and a two-norm ball or sphere ⋮ A new semidefinite relaxation for \(L_{1}\)-constrained quadratic

Uses Software

• DSPCA

Cites Work

• Smooth minimization of non-smooth functions
• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• Smoothing technique and its applications in semidefinite optimization
• Low-Rank Approximations with Sparse Factors I: Basic Algorithms and Error Analysis
• On semidefinite bounds for maximization of a non-convex quadratic objective over thel₁unit ball
• Low-Rank Approximations with Sparse Factors II: Penalized Methods with Discrete Newton-Like Iterations
• A Direct Formulation for Sparse PCA Using Semidefinite Programming
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