PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Optimal solutions for sparse principal component analysis
Alexandre d'Aspremont, Francis Bach and Laurent El Ghaoui
Journal of Machine Learning Research 2007.

Abstract

Given a sample covariance matrix, we examine the problem of maximizing the variance explained by a linear combination of the input variables while constraining the number of nonzero coefficients in this combination. This is known as sparse principal component analysis and has a wide array of applications in machine learning and engineering. We formulate a new semidefinite relaxation to this problem and derive a greedy algorithm that computes a full set of good solutions for all target numbers of non zero coefficients, with total complexity O(n^3), where n is the number of variables. We then use the same relaxation to derive sufficient conditions for global optimality of a solution, which can be tested in O(n^3) per pattern. We discuss applications in subset selection and sparse recovery and show on artificial examples and biological data that our algorithm does provide globally optimal solutions in many cases.

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EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
ID Code:3189
Deposited By:Francis Bach
Deposited On:12 January 2008