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Projected gradient approach to the numerical solution of the SCoTLASS

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Trendafilov, N. T. and Jolliffe, I. T. (2006) Projected gradient approach to the numerical solution of the SCoTLASS. Computational Statistics & Data Analysis, 50 (1). pp. 242-253. ISSN 0167-9473

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Abstract/Summary

The SCoTLASS problem-principal component analysis modified so that the components satisfy 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 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. (c) 2004 Elsevier B.V. All rights reserved.

Item Type:Article
Divisions:Science > School of Mathematical, Physical and Computational Sciences > Department of Meteorology
ID Code:5378
Uncontrolled Keywords:principal component analysis simple structure components LASSO constraint penalty function constrained optimization gradient dynamical system on manifolds steepest ascent vector flows optimality conditions COMPONENT TECHNIQUE PRINCIPAL LASSO ALGORITHMS SELECTION
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