ssvd | R Documentation |

Estimate an *l1*-penalized
singular value or principal components decomposition (SVD or PCA) that introduces sparsity in the
right singular vectors based on the fast and memory-efficient
sPCA-rSVD algorithm of Haipeng Shen and Jianhua Huang.

ssvd(x, k = 1, n = 2, maxit = 500, tol = 0.001, center = FALSE, scale. = FALSE, alpha = 0, tsvd = NULL, ...)

`x` |
A numeric real- or complex-valued matrix or real-valued sparse matrix. |

`k` |
Matrix rank of the computed decomposition (see the Details section below). |

`n` |
Number of nonzero components in the right singular vectors. If |

`maxit` |
Maximum number of soft-thresholding iterations. |

`tol` |
Convergence is determined when |

`center` |
a logical value indicating whether the variables should be
shifted to be zero centered. Alternately, a centering vector of length
equal the number of columns of |

`scale.` |
a logical value indicating whether the variables should be
scaled to have unit variance before the analysis takes place.
Alternatively, a vector of length equal the number of columns of The value of |

`alpha` |
Optional scalar regularization parameter between zero and one (see Details below). |

`tsvd` |
Optional initial rank-k truncated SVD or PCA (skips computation if supplied). |

`...` |
Additional arguments passed to |

The `ssvd`

function implements a version of an algorithm by
Shen and Huang that computes a penalized SVD or PCA that introduces
sparsity in the right singular vectors by solving a penalized least squares problem.
The algorithm in the rank 1 case finds vectors *u, w* that minimize

*||x - u w^T||_F^2 + lambda||w||_1*

such that *||u|| = 1*,
and then sets *v = w / ||w||* and
*d = u^T x v*;
see the referenced paper for details. The penalty *lambda* is
implicitly determined from the specified desired number of nonzero values `n`

.
Higher rank output is determined similarly
but using a sequence of *lambda* values determined to maintain the desired number
of nonzero elements in each column of `v`

specified by `n`

.
Unlike standard SVD or PCA, the columns of the returned `v`

when `k > 1`

may not be orthogonal.

A list containing the following components:

u regularized left singular vectors with orthonormal columns

d regularized upper-triangluar projection matrix so that

`x %*% v == u %*% d`

v regularized, sparse right singular vectors with columns of unit norm

center, scale the centering and scaling used, if any

lambda the per-column regularization parameter found to obtain the desired sparsity

iter number of soft thresholding iterations

n value of input parameter

`n`

alpha value of input parameter

`alpha`

Our `ssvd`

implementation of the Shen-Huang method makes the following choices:

The l1 penalty is the only available penalty function. Other penalties may appear in the future.

Given a desired number of nonzero elements in

`v`

, value(s) for the*lambda*penalty are determined to achieve the sparsity goal subject to the parameter`alpha`

.An experimental block implementation is used for results with rank greater than 1 (when

`k > 1`

) instead of the deflation method described in the reference.The choice of a penalty lambda associated with a given number of desired nonzero components is not unique. The

`alpha`

parameter, a scalar between zero and one, selects any possible value of lambda that produces the desired number of nonzero entries. The default`alpha = 0`

selects a penalized solution with largest corresponding value of`d`

in the 1-d case. Think of`alpha`

as fine-tuning of the penalty.Our method returns an upper-triangular matrix

`d`

when`k > 1`

so that`x %*% v == u %*% d`

. Non-zero elements above the diagonal result from non-orthogonality of the`v`

matrix, providing a simple interpretation of cumulative information, or explained variance in the PCA case, via the singular value decomposition of`d %*% t(v)`

.

What if you have no idea for values of the argument `n`

(the desired sparsity)?
The reference describes a cross-validation and an ad-hoc approach; neither of which are
in the package yet. Both are prohibitively computationally expensive for matrices with a huge
number of columns. A future version of this package will include a revised approach to
automatically selecting a reasonable sparsity constraint.

Compare with the similar but more general functions `SPC`

and `PMD`

in the `PMA`

package
by Daniela M. Witten, Robert Tibshirani, Sam Gross, and Balasubramanian Narasimhan.
The `PMD`

function can compute low-rank regularized matrix decompositions with sparsity penalties
on both the `u`

and `v`

vectors. The `ssvd`

function is
similar to the PMD(*, L1) method invocation of `PMD`

or alternatively the `SPC`

function.
Although less general than `PMD`

(*),
the `ssvd`

function can be faster and more memory efficient for the
basic sparse PCA problem.
See https://bwlewis.github.io/irlba/ssvd.html for more information.

(* Note that the s4vd package by Martin Sill and Sebastian Kaiser, https://cran.r-project.org/package=s4vd,
includes a fast optimized version of a closely related algorithm by Shen, Huang, and Marron, that penalizes
both `u`

and `v`

.)

Shen, Haipeng, and Jianhua Z. Huang. "Sparse principal component analysis via regularized low rank matrix approximation." Journal of multivariate analysis 99.6 (2008): 1015-1034.

Witten, Tibshirani and Hastie (2009) A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis. _Biostatistics_ 10(3): 515-534.

set.seed(1) u <- matrix(rnorm(200), ncol=1) v <- matrix(c(runif(50, min=0.1), rep(0,250)), ncol=1) u <- u / drop(sqrt(crossprod(u))) v <- v / drop(sqrt(crossprod(v))) x <- u %*% t(v) + 0.001 * matrix(rnorm(200*300), ncol=300) s <- ssvd(x, n=50) table(actual=v[, 1] != 0, estimated=s$v[, 1] != 0) oldpar <- par(mfrow=c(2, 1)) plot(u, cex=2, main="u (black circles), Estimated u (blue discs)") points(s$u, pch=19, col=4) plot(v, cex=2, main="v (black circles), Estimated v (blue discs)") points(s$v, pch=19, col=4) # Let's consider a trivial rank-2 example (k=2) with noise. Like the # last example, we know the exact number of nonzero elements in each # solution vector of the noise-free matrix. Note the application of # different sparsity constraints on each column of the estimated v. # Also, the decomposition is unique only up to sign, which we adjust # for below. set.seed(1) u <- qr.Q(qr(matrix(rnorm(400), ncol=2))) v <- matrix(0, ncol=2, nrow=300) v[sample(300, 15), 1] <- runif(15, min=0.1) v[sample(300, 50), 2] <- runif(50, min=0.1) v <- qr.Q(qr(v)) x <- u %*% (c(2, 1) * t(v)) + .001 * matrix(rnorm(200 * 300), 200) s <- ssvd(x, k=2, n=colSums(v != 0)) # Compare actual and estimated vectors (adjusting for sign): s$u <- sign(u) * abs(s$u) s$v <- sign(v) * abs(s$v) table(actual=v[, 1] != 0, estimated=s$v[, 1] != 0) table(actual=v[, 2] != 0, estimated=s$v[, 2] != 0) plot(v[, 1], cex=2, main="True v1 (black circles), Estimated v1 (blue discs)") points(s$v[, 1], pch=19, col=4) plot(v[, 2], cex=2, main="True v2 (black circles), Estimated v2 (blue discs)") points(s$v[, 2], pch=19, col=4) par(oldpar)

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