An Augmented Lagrangian Approach for Sparse Principal Component Analysis

Zhaosong Lu(zhaosongsfu.ca)
Yong Zhang(yza30sfu.ca)

Abstract: Principal component analysis (PCA) is a widely used technique for data analysis and dimension reduction with numerous applications in science and engineering. However, the standard PCA suffers from the fact that the principal components (PCs) are usually linear combinations of all the original variables, and it is thus often difficult to interpret the PCs. To alleviate this drawback, various sparse PCA approaches were proposed in literature [15, 6, 17, 28, 8, 25, 18, 7, 16]. Despite success in achieving sparsity, some important properties enjoyed by the standard PCA are lost in these methods such as uncorrelation of PCs and orthogonality of loading vectors. Also, the total explained variance that they attempt to maximize can be too optimistic. In this paper we propose a new formulation for sparse PCA, aiming at finding sparse and nearly uncorrelated PCs with orthogonal loading vectors while explaining as much of the total variance as possible. We also develop a novel augmented Lagrangian method for solving a class of nonsmooth constrained optimization problems, which is well suited for our formulation of sparse PCA. We show that it converges to a feasible point, and moreover under some regularity assumptions, it converges to a stationary point. Additionally, we propose two nonmonotone gradient methods for solving the augmented Lagrangian subproblems, and establish their global and local convergence. Finally, we compare our sparse PCA approach with several existing methods on synthetic, random, and real data, respectively. The computational results demonstrate that the sparse PCs produced by our approach substantially outperform those by other methods in terms of total explained variance, correlation of PCs, and orthogonality of loading vectors.

Keywords: sparse PCA, augmented Lagrangian method, nonmonotone gradient methods, nonsmooth minimization

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

Category 2: Convex and Nonsmooth Optimization (Nonsmooth Optimization )

Category 3: Applications -- Science and Engineering (Statistics )

Citation: Manuscript, Department of Mathematics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada, July 2009

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Entry Submitted: 07/12/2009
Entry Accepted: 07/12/2009
Entry Last Modified: 07/12/2009

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