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Projected gradient approach to the numerical solution of the SCoTLASS

Trendafilov, Nickolay T. and Jolliffe, Ian T. (2006). Projected gradient approach to the numerical solution of the SCoTLASS. Computational Statistics and Data Analysis, 50(1) pp. 242–253.

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The SCoTLASS problem—principal component analysis modified so that the components satisfy 11 the Least Absolute Shrinkage and Selection Operator (LASSO) constraint—is reformulated as a dynamical system on the unit sphere. The LASSO inequality constraint is tackled by exterior penalty
13 function.A globally convergent algorithm is developed based on the projected gradient approach. The
algorithm is illustrated numerically and discussed on a well-known data set.

Item Type: Journal Article
ISSN: 0167-9473
Extra Information: 2nd Special issue on Matrix Computations and Statistics
Keywords: Principal component analysis; Simple structure components; LASSO constraint; Penalty function;Constrained optimization; Gradient dynamical system on manifolds; Steepest ascent vector flows; Optimality conditions
Academic Unit/Department: Mathematics, Computing and Technology > Mathematics and Statistics
Item ID: 3925
Depositing User: Nickolay Trendafilov
Date Deposited: 04 Jul 2006
Last Modified: 02 Dec 2010 19:50
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