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We introduce a novel algorithm that computes the $k$-sparse principal component of a positive semidefinite matrix $A$. Our algorithm is combinatorial and operates by examining a discrete set of specia...
An Inverse Power Method for Nonlinear Eigenproblems with Applications in 1-Spectral Clustering and Sparse PCA
Learning (cs.LG) Optimization and Control (math.OC) Machine Learning (stat.ML)
2010/12/17
Many problems in machine learning and statistics can be formulated as (generalized) eigenproblems. In terms of the associated optimization problem, computing linear eigenvectors amounts to finding cri...