An Alternating Manifold Proximal Gradient Method for Sparse PCA and Sparse CCA

27 Mar 2019Shixiang ChenShiqian MaLingzhou XueHui Zou

Sparse principal component analysis (PCA) and sparse canonical correlation analysis (CCA) are two essential techniques from high-dimensional statistics and machine learning for analyzing large-scale data. Both problems can be formulated as an optimization problem with nonsmooth objective and nonconvex constraints... (read more)

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