Generalized power method for sparse principal component analysis

Michel Journée, Yurii Nesterov, Peter Richtárik, Rodolphe Sepulchre

Research output: Contribution to journalArticlepeer-review

403 Scopus citations

Abstract

In this paper we develop a new approach to sparse principal component analysis (sparse PCA). We propose two single-unit and two block optimization formulations of the sparse PCA problem, aimed at extracting a single sparse dominant principal component of a data matrix, or more components at once, respectively. While the initial formulations involve nonconvex functions, and are therefore computationally intractable, we rewrite them into the form of an optimization program involving maximization of a convex function on a compact set. The dimension of the search space is decreased enormously if the data matrix has many more columns (variables) than rows. We then propose and analyze a simple gradient method suited for the task. It appears that our algorithm has best convergence properties in the case when either the objective function or the feasible set are strongly convex, which is the case with our single-unit formulations and can be enforced in the block case. Finally, we demonstrate numerically on a set of random and gene expression test problems that our approach outperforms existing algorithms both in quality of the obtained solution and in computational speed. © 2010 Michel Journée, Yurii Nesterov, Peter Richtárik and Rodolphe Sepulchre.
Original languageEnglish (US)
Pages (from-to)517-553
Number of pages37
JournalJournal of Machine Learning Research
Volume11
StatePublished - Feb 1 2010
Externally publishedYes

Bibliographical note

Generated from Scopus record by KAUST IRTS on 2023-09-25

ASJC Scopus subject areas

  • Artificial Intelligence
  • Software
  • Statistics and Probability
  • Control and Systems Engineering

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