Projected gradient approach to the numerical solution of the SCoTLASS

DOI10.1016/j.csda.2004.07.017zbMath1429.62228OpenAlexW2028205093MaRDI QIDQ959150

Ian T. Jolliffe, Nickolay T. Trendafilov

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.07.017

zbMATH Keywords

constrained optimizationprincipal component analysisoptimality conditionspenalty functiongradient dynamical system on manifoldsLasso constraintsimple structure componentssteepest ascent vector flows

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (15)

Alternating maximization: unifying framework for 8 sparse PCA formulations and efficient parallel codes ⋮ Recipes for sparse LDA of horizontal data ⋮ Sparse exploratory factor analysis ⋮ An exact approach to sparse principal component analysis ⋮ Sparse CCA using a lasso with positivity constraints ⋮ Stepwise estimation of common principal components ⋮ Simple and interpretable discrimination ⋮ Multi-step perturbation solution of nonlinear differentiable equations applied to an econometric analysis of productivity ⋮ A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis ⋮ From simple structure to sparse components: a review ⋮ Sparse Principal Component Analysis in Hilbert Space ⋮ Least Squares Sparse Principal Component Analysis: A Backward Elimination Approach to Attain Large Loadings ⋮ DALASS: variable selection in discriminant analysis via the LASSO ⋮ Editorial: Statistical learning methods including dimensionality reduction ⋮ A 50-year personal journey through time with principal component analysis

Uses Software

• Matlab
• ode23
• ode45
• Ode15s
• ode113
• ode23s
• MATLAB ODE suite

Cites Work

• Least squares matching problems
• Principal component analysis.
• The MATLAB ODE Suite
• The Geometry of Algorithms with Orthogonality Constraints
• A new approach to variable selection in least squares problems
• Gradient algorithms for principal component analysis
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