Related papers: Optimal detection of sparse principal components i…
We use convex relaxation techniques to produce lower bounds on the optimal value of subset selection problems and generate good approximate solutions. We then explicitly bound the quality of these relaxations by studying the approximation…
We analyze a class of estimators based on convex relaxation for solving high-dimensional matrix decomposition problems. The observations are noisy realizations of a linear transformation $\mathfrak{X}$ of the sum of an approximately) low…
The problem of minimizing a polynomial over a set of polynomial inequalities is an NP-hard non-convex problem. Thanks to powerful results from real algebraic geometry, one can convert this problem into a nested sequence of…
Sparse Principal Component Analysis (PCA) methods are efficient tools to reduce the dimension (or the number of variables) of complex data. Sparse principal components (PCs) are easier to interpret than conventional PCs, because most…
Correspondence problems are often modelled as quadratic optimization problems over permutations. Common scalable methods for approximating solutions of these NP-hard problems are the spectral relaxation for non-convex energies and the…
We consider exact asymptotics of the minimax risk for global testing against sparse alternatives in the context of high dimensional linear regression. Our results characterize the leading order behavior of this minimax risk in several…
The problem of estimating sparse eigenvectors of a symmetric matrix attracts a lot of attention in many applications, especially those with high dimensional data set. While classical eigenvectors can be obtained as the solution of a…
Robust principal component analysis (RPCA) can recover low-rank matrices when they are corrupted by sparse noises. In practice, many matrices are, however, of high-rank and hence cannot be recovered by RPCA. We propose a novel method called…
Sparse principal component analysis (sPCA) has become one of the most widely used techniques for dimensionality reduction in high-dimensional datasets. The main challenge underlying sPCA is to estimate the first vector of loadings of the…
Principal component analysis (PCA) has been widely applied to dimensionality reduction and data pre-processing for different applications in engineering, biology and social science. Classical PCA and its variants seek for linear projections…
We study the optimal sample complexity of variable selection in linear regression under general design covariance, and show that subset selection is optimal while under standard complexity assumptions, efficient algorithms for this problem…
We study how well one can recover sparse principal components of a data matrix using a sketch formed from a few of its elements. We show that for a wide class of optimization problems, if the sketch is close (in the spectral norm) to the…
We consider the following multi-component sparse PCA problem: given a set of data points, we seek to extract a small number of sparse components with disjoint supports that jointly capture the maximum possible variance. These components can…
Statistical inference problems arising within signal processing, data mining, and machine learning naturally give rise to hard combinatorial optimization problems. These problems become intractable when the dimensionality of the data is…
We provide a novel -- and to the best of our knowledge, the first -- algorithm for high dimensional sparse regression with constant fraction of corruptions in explanatory and/or response variables. Our algorithm recovers the true sparse…
We propose a new sparse principal component analysis (SPCA) method in which the solutions are obtained by projecting the full cardinality principal components onto subsets of variables. The resulting components are guaranteed to explain a…
Sparse Principal Component Analysis (sparse PCA) is a fundamental dimension-reduction tool that enhances interpretability in various high-dimensional settings. An important variant of sparse PCA studies the scenario when samples are…
Based on a new atomic norm, we propose a new convex formulation for sparse matrix factorization problems in which the number of nonzero elements of the factors is assumed fixed and known. The formulation counts sparse PCA with multiple…
We consider the problem of identifying the sparse principal component of a rank-deficient matrix. We introduce auxiliary spherical variables and prove that there exists a set of candidate index-sets (that is, sets of indices to the nonzero…
This paper addresses hypothesis testing for the mean of matrix-valued data in high-dimensional settings. We investigate the minimum discrepancy test, originally proposed by Cragg (1997), which serves as a rank test for lower-dimensional…