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Mathematical optimization / Matrix theory / Multivariate statistics / Linear programming / Operations research / Sparse PCA / Semidefinite programming / Principal component analysis / Convex optimization / Eigenvalues and eigenvectors / Matrix / Singular value decomposition


A DIRECT FORMULATION FOR SPARSE PCA USING SEMIDEFINITE PROGRAMMING∗ ALEXANDRE D’ASPREMONT† , LAURENT EL GHAOUI‡ , MICHAEL I. JORDAN§ , AND GERT R. G. LANCKRIET¶ Abstract. Given a covariance matrix, we consider
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Document Date: 2015-07-31 19:00:26


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