HePPCAT: Probabilistic PCA for Data with Heteroscedastic Noise
From MaRDI portal
Publication:6357939
DOI10.1109/TSP.2021.3104979arXiv2101.03468MaRDI QIDQ6357939FDOQ6357939
Authors: David E. Hong, Kyle Gilman, Laura Balzano, Jeffrey A. Fessler 
Publication date: 9 January 2021
Abstract: Principal component analysis (PCA) is a classical and ubiquitous method for reducing data dimensionality, but it is suboptimal for heterogeneous data that are increasingly common in modern applications. PCA treats all samples uniformly so degrades when the noise is heteroscedastic across samples, as occurs, e.g., when samples come from sources of heterogeneous quality. This paper develops a probabilistic PCA variant that estimates and accounts for this heterogeneity by incorporating it in the statistical model. Unlike in the homoscedastic setting, the resulting nonconvex optimization problem is not seemingly solved by singular value decomposition. This paper develops a heteroscedastic probabilistic PCA technique (HePPCAT) that uses efficient alternating maximization algorithms to jointly estimate both the underlying factors and the unknown noise variances. Simulation experiments illustrate the comparative speed of the algorithms, the benefit of accounting for heteroscedasticity, and the seemingly favorable optimization landscape of this problem. Real data experiments on environmental air quality data show that HePPCAT can give a better PCA estimate than techniques that do not account for heteroscedasticity.
This page was built for publication: HePPCAT: Probabilistic PCA for Data with Heteroscedastic Noise
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6357939)
