Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
416352 | Computational Statistics & Data Analysis | 2006 | 12 Pages |
Abstract
The SCoTLASS problem—principal component analysis modified so that the components satisfy the Least Absolute Shrinkage and Selection Operator (LASSO) constraint—is reformulated as a dynamical system on the unit sphere. The LASSO inequality constraint is tackled by exterior penalty function. A globally convergent algorithm is developed based on the projected gradient approach. The algorithm is illustrated numerically and discussed on a well-known data set.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Nickolay T. Trendafilov, Ian T. Jolliffe,