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We propose a new data-driven method to select the optimal number of relevant components in Principal Component Analysis (PCA). This new method applies to correlation matrices whose time autocorrelation function decays more slowly than an…

Statistical Finance · Quantitative Finance 2019-10-07 Anshul Verma , Pierpaolo Vivo , Tiziana Di Matteo

Principal Component Analysis (PCA) is a popular method for dimension reduction and has attracted an unfailing interest for decades. More recently, kernel PCA (KPCA) has emerged as an extension of PCA but, despite its use in practice, a…

Machine Learning · Computer Science 2023-01-25 Maxime Haddouche , Benjamin Guedj , John Shawe-Taylor

Neural networks, with the capability to provide efficient predictive models, have been widely used in medical, financial, and other fields, bringing great convenience to our lives. However, the high accuracy of the model requires a large…

Cryptography and Security · Computer Science 2021-04-13 Zhengqiang Ge , Zhipeng Zhou , Dong Guo , Qiang Li

Sparse Principal Component Analysis (sPCA) is a cardinal technique for obtaining combinations of features, or principal components (PCs), that explain the variance of high-dimensional datasets in an interpretable manner. This involves…

Optimization and Control · Mathematics 2025-12-02 Ryan Cory-Wright , Jean Pauphilet

To preserve data privacy, multi-party computation (MPC) enables executing Machine Learning (ML) algorithms on private data. However, MPC frameworks do not include optimized operations on sparse data. This absence makes them unsuitable for…

Cryptography and Security · Computer Science 2026-03-04 Marc Damie , Florian Hahn , Andreas Peter , Jan Ramon

Principal component analysis (PCA) is recognised as a quintessential data analysis technique when it comes to describing linear relationships between the features of a dataset. However, the well-known sensitivity of PCA to non-Gaussian…

Machine Learning · Statistics 2019-10-28 Jean P. Chereau , Bruno Scalzo Dees , Danilo P. Mandic

In this work, we consider the problem of secure multi-party computation (MPC), consisting of $\Gamma$ sources, each has access to a large private matrix, $N$ processing nodes or workers, and one data collector or master. The master is…

Information Theory · Computer Science 2020-04-13 Seyed Reza Hoseini Najarkolaei , Mohammad Ali Maddah-Ali , Mohammad Reza Aref

Secure Multiparty Computation (SMC) allows parties to know the result of cooperative computation while preserving privacy of individual data. Secure sum computation is an important application of SMC. In our proposed protocols parties are…

Cryptography and Security · Computer Science 2009-12-08 Rashid Sheikh , Beerendra Kumar , Durgesh Kumar Mishra

With the rapid increase in computing, storage and networking resources, data is not only collected and stored, but also analyzed. This creates a serious privacy problem which often inhibits the use of this data. In this chapter, we…

Cryptography and Security · Computer Science 2016-10-10 Yuan Hong , Jaideep Vaidya , Nicholas Rizzo , Qi Liu

Recent advances have sparked significant interest in the development of privacy-preserving Principal Component Analysis (PCA). However, many existing approaches rely on restrictive assumptions, such as assuming sub-Gaussian data or being…

Methodology · Statistics 2025-07-22 Minwoo Kim , Sungkyu Jung

Principal component analysis (PCA) requires the computation of a low-rank approximation to a matrix containing the data being analyzed. In many applications of PCA, the best possible accuracy of any rank-deficient approximation is at most a…

Computation · Statistics 2010-06-04 Vladimir Rokhlin , Arthur Szlam , Mark Tygert

The growing volumes of data being collected and its analysis to provide better services are creating worries about digital privacy. To address privacy concerns and give practical solutions, the literature has relied on secure multiparty…

Cryptography and Security · Computer Science 2022-06-27 Nishat Koti , Shravani Patil , Arpita Patra , Ajith Suresh

Robust Principal Component Analysis (RPCA) aims at recovering a low-rank subspace from grossly corrupted high-dimensional (often visual) data and is a cornerstone in many machine learning and computer vision applications. Even though RPCA…

Computer Vision and Pattern Recognition · Computer Science 2017-03-29 Niannan Xue , Yannis Panagakis , Stefanos Zafeiriou

Recent advancements in privacy-preserving machine learning are paving the way to extend the benefits of ML to highly sensitive data that, until now, have been hard to utilize due to privacy concerns and regulatory constraints.…

Cryptography and Security · Computer Science 2024-09-24 Hidde Lycklama , Alexander Viand , Nicolas Küchler , Christian Knabenhans , Anwar Hithnawi

This paper describes some applications of an incremental implementation of the principal component analysis (PCA). The algorithm updates the transformation coefficients matrix on-line for each new sample, without the need to keep all the…

Machine Learning · Statistics 2019-08-14 Vittorio Lippi , Giacomo Ceccarelli

Principal component analysis has been widely adopted to reduce the dimension of data while preserving the information. The quantum version of PCA (qPCA) can be used to analyze an unknown low-rank density matrix by rapidly revealing the…

Quantum Physics · Physics 2022-01-26 Zhaokai Li , Zihua Chai , Yuhang Guo , Wentao Ji , Mengqi Wang , Fazhan Shi , Ya Wang , Seth Lloyd , Jiangfeng Du

Principal Component Analysis (PCA) is one of the most commonly used statistical methods for data exploration, and for dimensionality reduction wherein the first few principal components account for an appreciable proportion of the…

Methodology · Statistics 2024-01-11 Caren Marzban , Ulvi Yurtsever , Michael Richman

Dimension reduction is useful for exploratory data analysis. In many applications, it is of interest to discover variation that is enriched in a "foreground" dataset relative to a "background" dataset. Recently, contrastive principal…

Methodology · Statistics 2021-05-04 Didong Li , Andrew Jones , Barbara Engelhardt

Principal components analysis (PCA) is a classical method for the reduction of dimensionality of data in the form of n observations (or cases) of a vector with p variables. For a simple model of factor analysis type, it is proved that…

Statistics Theory · Mathematics 2009-01-29 Iain M Johnstone , Arthur Yu Lu

Probabilistic principal component analysis (PPCA) is currently one of the most used statistical tools to reduce the ambient dimension of the data. From multidimensional scaling to the imputation of missing data, PPCA has a broad spectrum of…

Machine Learning · Statistics 2023-11-15 Arghya Datta , Sayak Chakrabarty