The Sparse Principal Component Analysis Problem: Optimality Conditions and Algorithms

Author:

Beck Amir,Vaisbourd Yakov

Funder

Israel Science Foundation (IL)

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Reference23 articles.

1. Jolliffe, I.T.: Principal Component Analysis, 2nd edn. Springer, New York (2002)

2. Misra, J., Schmitt, W., Hwang, D., Hsiao, L.L., Gullans, S., Stephanopoulos, G., Stephanopoulos, G.: Interactive exploration of microarray gene expression patterns in a reduced dimensional space. Genome Res. 12(7), 1112–1120 (2002)

3. d’Aspremont, A.: Identifying small mean-reverting portfolios. Quant. Finance 11(3), 351–364 (2011)

4. Moghaddam, B., Weiss, Y., Avidan, S.: Spectral bounds for sparse pca: exact and greedy algorithms. In: Y. Weiss, B. Schölkopf, J. Platt (Eds.) Adv. Neural. Inf. Process. Syst. 18, pp. 915–922. MIT Press, Cambridge, MA (2006)

5. Cadima, J., Jolliffe, I.T.: Loading and correlations in the interpretation of principle compenents. J. Appl. Stat. 22(2), 203–214 (1995)

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