Abstract:
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Generalized principal component analysis (GPCA) is an extension of standard PCA for exponential family data. Using the generalized linear model framework, it allows an effective representation of a low dimensional structure underlying discrete data such as binary features and counts. As with PCA, interpretability and stability are desired for GPCA in high dimensional settings. We propose sparse GPCA by imposing sparsity on the loadings for enhanced interpretability and stability. The orthogonality and sparsity constraints on the loadings result in a non-smooth manifold optimization, which is still a challenging computational problem. Inspired by the recent advances in non-smooth manifold optimization such as manifold ADMM and manifold proximal gradient method, we develop computational algorithms for sparse GPCA and demonstrate their utility through a list of numerical experiments and application to real data.
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