A new sparse PCA algorithm is presented, which is robust against outliers. The approach is based on the ROBPCA algorithm that generates robust but nonsparse loadings. The construction of the new ROSPCA method is detailed, as well as a selection criterion for the sparsity parameter. An extensive simulation study and a real data example are performed, showing that it is capable of accurately finding the sparse structure of datasets, even when challenging outliers are present. In comparison with a projection pursuit-based algorithm, ROSPCA demonstrates superior robustness properties and comparable sparsity estimation capability, as well as significantly faster computation time.
机构:
Stanford Univ, Dept Math, Stanford, CA 94305 USA
Stanford Univ, Dept Stat, Stanford, CA 94305 USAStanford Univ, Dept Math, Stanford, CA 94305 USA
Candes, Emmanuel J.
Li, Xiaodong
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机构:
Stanford Univ, Dept Math, Stanford, CA 94305 USA
Stanford Univ, Dept Stat, Stanford, CA 94305 USAStanford Univ, Dept Math, Stanford, CA 94305 USA
Li, Xiaodong
Ma, Yi
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机构:
Univ Illinois, Dept Elect & Comp Engn, Coordinated Sci Lab 145, Urbana, IL 61801 USA
Microsoft Res Asia, Visual Comp Grp, Beijing 100080, Peoples R ChinaStanford Univ, Dept Math, Stanford, CA 94305 USA
Ma, Yi
Wright, John
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机构:
Microsoft Res Asia, Visual Comp Grp, Beijing 100080, Peoples R ChinaStanford Univ, Dept Math, Stanford, CA 94305 USA
机构:
Stanford Univ, Dept Math, Stanford, CA 94305 USA
Stanford Univ, Dept Stat, Stanford, CA 94305 USAStanford Univ, Dept Math, Stanford, CA 94305 USA
Candes, Emmanuel J.
Li, Xiaodong
论文数: 0引用数: 0
h-index: 0
机构:
Stanford Univ, Dept Math, Stanford, CA 94305 USA
Stanford Univ, Dept Stat, Stanford, CA 94305 USAStanford Univ, Dept Math, Stanford, CA 94305 USA
Li, Xiaodong
Ma, Yi
论文数: 0引用数: 0
h-index: 0
机构:
Univ Illinois, Dept Elect & Comp Engn, Coordinated Sci Lab 145, Urbana, IL 61801 USA
Microsoft Res Asia, Visual Comp Grp, Beijing 100080, Peoples R ChinaStanford Univ, Dept Math, Stanford, CA 94305 USA
Ma, Yi
Wright, John
论文数: 0引用数: 0
h-index: 0
机构:
Microsoft Res Asia, Visual Comp Grp, Beijing 100080, Peoples R ChinaStanford Univ, Dept Math, Stanford, CA 94305 USA