Gradient-based sparse principal component analysis with extensions to online learning

• 成果类型: Article
• 署名作者: Qiu, Yixuan; Lei, Jing; Roeder, Kathryn
• 署名单位: Shanghai University of Finance & Economics; Carnegie Mellon University
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asac041
• 发表日期: 2023
• 页码: 339360
• 关键词: stochastic-approximation; DECOMPOSITION; Consistency; RISK

摘要

Sparse principal component analysis is an important technique for simultaneous dimensionality reduction and variable selection with high-dimensional data. In this work we combine the unique geometric structure of the sparse principal component analysis problem with recent advances in convex optimization to develop novel gradient-based sparse principal component analysis algorithms. These algorithms enjoy the same global convergence guarantee as the original alternating direction method of multipliers, and can be more efficiently implemented with the rich toolbox developed for gradient methods from the deep learning literature. Most notably, these gradient-based algorithms can be combined with stochastic gradient descent methods to produce efficient online sparse principal component analysis algorithms with provable numerical and statistical performance guarantees. The practical performance and usefulness of the new algorithms are demonstrated in various simulation studies. As an application, we show how the scalability and statistical accuracy of our method enable us to find interesting functional gene groups in high-dimensional RNA sequencing data.