A DC Programming Approach for Sparse Eigenvalue Problem

  title={A DC Programming Approach for Sparse Eigenvalue Problem},
  author={Mamadou Thiao and Tao Pham Dinh and Le Thi Hoai An},
We investigate the sparse eigenvalue problem which arises in various fields such as machine learning and statistics. Unlike standard approaches relying on approximation of the l0norm, we work with an equivalent reformulation of the problem at hand as a DC program. Our starting point is the eigenvalue problem to which a constraint for sparsity requirement is added. The obtained problem is first formulated as a mixed integer program, and exact penalty techniques are used to equivalently transform… CONTINUE READING

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