Electrical Engineering
      and Computer Sciences

Electrical Engineering and Computer Sciences

COLLEGE OF ENGINEERING

UC Berkeley

   

2009 Research Summary

Sparse Principal Component Analysis (SPCA)

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Laurent El Ghaoui and Michael Jordan

In this work, we seek to decompose a matrix into sparse principal components. This has applications, for example, in genomics, allowing us to identify a few genes that explain most of the variance observed in micro-array data. We investigate various algorithms based on convex relaxations, their complexity, and the quality of the corresponding approximations.