dppalomar/sparseEigen: Computation of Sparse Eigenvectors of a Matrix

Computation of sparse eigenvectors of a matrix (aka sparse PCA) with running time 2-3 orders of magnitude lower than existing methods and better final performance in terms of recovery of sparsity pattern and estimation of numerical values. Can handle covariance matrices as well as data matrices with real or complex-valued entries. Different levels of sparsity can be specified for each individual ordered eigenvector and the method is robust in parameter selection. See vignette for a detailed documentation and comparison, with several illustrative examples. The package is based on the paper: K. Benidis, Y. Sun, P. Babu, and D. P. Palomar, "Orthogonal Sparse PCA and Covariance Estimation via Procrustes Reformulation," IEEE Transactions on Signal Processing, IEEE Trans. on Signal Processing, vol. 64, no. 23, pp. 6211-6226, Dec. 2016. <doi:10.1109/TSP.2016.2605073>.

Getting started

Package details

MaintainerDaniel P. Palomar <[email protected]>
LicenseGPL-3 | file LICENSE
URL https://github.com/dppalomar/sparseEigen https://www.danielppalomar.com https://doi.org/10.1109/TSP.2016.2605073
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
dppalomar/sparseEigen documentation built on May 5, 2019, 12:31 p.m.