Approximation Bounds for Sparse Principal Component Analysis

Alexandre d'Aspremont; Francis Bach; Laurent El Ghaoui

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arXiv · 1205.0121

Approximation Bounds for Sparse Principal Component Analysis

Alexandre d'Aspremont·Francis Bach·Laurent El Ghaoui

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Abstract

We produce approximation bounds on a semidefinite programming relaxation for sparse principal component analysis. These bounds control approximation ratios for tractable statistics in hypothesis testing problems where data points are sampled from Gaussian models with a single sparse leading component.

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Alexandre d'Aspremont, Francis Bach, Laurent El Ghaoui. 2012-06-18. Approximation Bounds for Sparse Principal Component Analysis. https://arxiv.org/abs/1205.0121

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