Sparse generalized eigenvalue problem: optimal statistical rates via truncated Rayleigh flow

Author:

Tan Kean Ming1,Wang Zhaoran2,Liu Han2,Zhang Tong3

Affiliation:

1. University of Minnesota; Minneapolis USA

2. Northwestern University; Evanston USA

3. Tencent Technology Shenzhen; People's Republic of China

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference52 articles.

1. Optimal solutions for sparse principal component analysis;d’Aspremont;J. Mach. Learn. Res.,2008

2. A direct formulation for sparse PCA using semidefinite programming;d’Aspremont;SIAM Rev,2007

3. Minimax bounds for sparse PCA with noisy high-dimensional data;Birnbaum;Ann. Statist.,2013

4. Distributed optimization and statistical learning via the ADMM;Boyd;Foundns Trends Mach. Learn.,2010

5. Sparse PCA: optimal rates and adaptive estimation;Cai;Ann. Statist.,2013

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