Convex approximations to sparse PCA via Lagrangian duality.
Ronny LussMarc TeboullePublished in: Oper. Res. Lett. (2011)
Keyphrases
- sparse pca
- duality gap
- convex programming
- semidefinite programming
- augmented lagrangian
- direct optimization
- convex optimization
- inequality constraints
- linear programming
- feature selection
- numerical methods
- dual formulation
- optimal solution
- anomaly detection
- feature extraction
- principal component analysis
- principle component analysis
- random projections
- convex hull