We present three provably accurate, polynomial time, approximation algorithms for the Sparse Principal Component Analysis (SPCA ) problem, without imposing any restrictive assumptions on the input covariance matrix. The first algorithm is based on randomized matrix multiplication; the second algorithm is based on a novel deterministic thresholding scheme; and the third algorithm is based on a semidefinite programming relaxation of SPCA. All algorithms come with provable guarantees and run in low-degree polynomial time. Our empirical evaluations confirm our theoretical findings .
Principal component analysis (PCA) is a widely used dimension reduction technique in machine learning and multivariate statistics. To improve the interpretability of PCA, various approaches to obtain sparse principal direction loadings have been proposed, which are termed Sparse Principal Component Analysis (SPCA). In this paper, we present thresholding as a provably accurate, polynomial time, approximation algorithm for the SPCA problem, without imposing any restrictive assumptions on the input covariance matrix. Our first thresholding algorithm using the Singular Value Decomposition is conceptually simple; is faster than current state-of-the-art; and performs well in practice. On the negative side, our (novel) theoretical bounds do not accurately predict the strong practical performance of this approach. The second algorithm solves a well-known semidefinite programming relaxation and then uses a novel, two step, deterministic thresholding scheme to compute a sparse principal vector. It works very well in practice and, remarkably, this solid practical performance is accurately predicted by our theoretical bounds, which bridge the theory-practice gap better than current state-of-the-art .
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We present three
Principal component analysis (PCA) is a widely used dimension reduction technique in machine learning and multivariate statistics. To improve the interpretability of PCA, various approaches to obtain sparse principal direction loadings have been proposed, which are termed Sparse Principal Component Analysis (SPCA). In this paper, we present thresholding as a
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algorithms for the Sparse Principal Component Analysis (SPCA )
algorithm for the SPCA
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The first algorithm
Our first thresholding algorithm using the Singular Value Decomposition is conceptually simple;
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based on randomized matrix multiplication; the second algorithm is based on a novel deterministic thresholding scheme; and the third algorithm is based on a
faster than current state-of-the-art; and performs well in practice. On the negative side, our (novel) theoretical bounds do not accurately predict the strong practical performance of this approach. The second algorithm solves a well-known
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of SPCA. All algorithms come with provable guarantees and run in low-degree polynomial time. Our empirical evaluations confirm our theoretical findings
and then uses a novel, two step, deterministic thresholding scheme to compute a sparse principal vector. It works very well in practice and, remarkably, this solid practical performance is accurately predicted by our theoretical bounds, which bridge the theory-practice gap better than current state-of-the-art