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In this paper we propose a new iterative algorithm to solve the fair PCA (FPCA) problem. We start with the max-min fair PCA formulation originally proposed in [1] and derive a simple and efficient iterative algorithm which is based on the…
It is well known that Principal Component Analysis (PCA) is strongly affected by outliers and a lot of effort has been put into robustification of PCA. In this paper we present a new algorithm for robust PCA minimizing the trimmed…
Predictable Feature Analysis (PFA) (Richthofer, Wiskott, ICMLA 2015) is an algorithm that performs dimensionality reduction on high dimensional input signal. It extracts those subsignals that are most predictable according to a certain…
Principal Component Analysis (PCA) is a widely utilized technique for dimensionality reduction; however, its inherent lack of interpretability-stemming from dense linear combinations of all feature-limits its applicability in many domains.…
I introduce Forecastable Component Analysis (ForeCA), a novel dimension reduction technique for temporally dependent signals. Based on a new forecastability measure, ForeCA finds an optimal transformation to separate a multivariate time…
Dynamic statistical process monitoring methods have been widely studied and applied in modern industrial processes. These methods aim to extract the most predictable temporal information and develop the corresponding dynamic monitoring…
Principal component analysis (PCA) is a classical feature extraction method, but it may be adversely affected by outliers, resulting in inaccurate learning of the projection matrix. This paper proposes a robust method to estimate both the…
We present a novel approach for adaptive, differentiable parameterization of large-scale random fields. If the approach is coupled with any gradient-based optimization algorithm, it can be applied to a variety of optimization problems,…
In this paper we develop a new approach to sparse principal component analysis (sparse PCA). We propose two single-unit and two block optimization formulations of the sparse PCA problem, aimed at extracting a single sparse dominant…
Sequential or online dimensional reduction is of interests due to the explosion of streaming data based applications and the requirement of adaptive statistical modeling, in many emerging fields, such as the modeling of energy end-use…
Dimension reduction is often an important step in the analysis of high-dimensional data. PCA is a popular technique to find the best low-dimensional approximation of high-dimensional data. However, classical PCA is very sensitive to…
Multivariate Functional Principal Component Analysis (MFPCA) is a valuable tool for exploring relationships and identifying shared patterns of variation in multivariate functional data. However, controlling the roughness of the extracted…
Principal component analysis (PCA) is a fundamental dimension reduction tool in statistics and machine learning. For large and high-dimensional data, computing the PCA (i.e., the singular vectors corresponding to a number of dominant…
Matrix factor models have been growing popular dimension reduction tools for large-dimensional matrix time series. However, the heteroscedasticity of the idiosyncratic components has barely received any attention. Starting from the pseudo…
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…
Traditional principal component analysis (PCA) is well known in high-dimensional data analysis, but it requires to express data by a matrix with observations to be continuous. To overcome the limitations, a new method called flexible PCA…
Generalization of time series prediction remains an important open issue in machine learning, wherein earlier methods have either large generalization error or local minima. We develop an analytically solvable, unsupervised learning scheme…
Principal component regression (PCR) is a useful method for regularizing linear regression. Although conceptually simple, straightforward implementations of PCR have high computational costs and so are inappropriate when learning with large…
Factor analysis and principal component analysis (PCA) are used in many application areas. The first step, choosing the number of components, remains a serious challenge. Our work proposes improved methods for this important problem. One of…
Sparse linear prediction methods suffer from decreased prediction accuracy when the predictor variables have cluster structure (e.g. there are highly correlated groups of variables). To improve prediction accuracy, various methods have been…