Sparse non Gaussian component analysis by semidefinite programming

DOI10.1007/S10994-013-5331-1MaRDI QIDQ374189zbMATH OpenOpenAlexWikidataFDO

Authors Elmar Diederichs, Arkadi Nemirovski, V. G. Spokoiny, Anatoli Juditsky

Publication date 22 October 2013

Published in Machine Learning (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.0321

zbMATH Keywords

dimension reductionfeature extractionnon-Gaussian components analysis

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Learning and adaptive systems in artificial intelligence (68T05) Semidefinite programming (90C22)

Abstract: Sparse non-Gaussian component analysis (SNGCA) is an unsupervised method of extracting a linear structure from a high dimensional data based on estimating a low-dimensional non-Gaussian data component. In this paper we discuss a new approach to direct estimation of the projector on the target space based on semidefinite programming which improves the method sensitivity to a broad variety of deviations from normality. We also discuss the procedures which allows to recover the structure when its effective dimension is unknown.

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Cited in

(6)

• A new algorithm of non-Gaussian component analysis with radial kernel functions
• In search of non-Gaussian components of a high-dimensional distribution
• Robust discriminative clustering with sparse regularizers
• A one-sample test for normality with kernel methods
• Non-Negative Principal Component Analysis: Message Passing Algorithms and Sharp Asymptotics
• High-dimensional analysis of semidefinite relaxations for sparse principal components

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