Implements the SPCAvRP algorithm, developed and analysed in "Sparse principal component analysis via random projections" Gataric, M., Wang, T. and Samworth, R. J. (2018) <arXiv:1712.05630>. The algorithm is based on the aggregation of eigenvector information from carefully-selected random projections of the sample covariance matrix.
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Summary
Implements the SPCAvRP algorithm, developed and analysed in "Sparse principal component analysis via random projections" Gataric, M., Wang, T. and Samworth, R. J. (2018) <arXiv:1712.05630>. The algorithm is based on the aggregation of eigenvector information from carefully-selected random projections of the sample covariance matrix.
Last Updated
Oct 15, 2019 at 17:16
License
GPL-3
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