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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Date: 2015-07-31 19:00:26 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 Add to Reading List Source URL: eceweb.ucsd.edu Download Document from Source Website File Size: 220,45 KB Share Document on Facebook

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