A Randomized Rounding Algorithm for Sparse PCA

13 Aug 2015Kimon FountoulakisAbhisek KunduEugenia-Maria KontopoulouPetros Drineas

We present and analyze a simple, two-step algorithm to approximate the optimal solution of the sparse PCA problem. Our approach first solves a L1 penalized version of the NP-hard sparse PCA optimization problem and then uses a randomized rounding strategy to sparsify the resulting dense solution... (read more)

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