A Randomized Rounding Algorithm for Sparse PCA

@article{Fountoulakis2017ARR,
  title={A Randomized Rounding Algorithm for Sparse PCA},
  author={Kimon Fountoulakis and Abhisek Kundu and Eugenia-Maria Kontopoulou and Petros Drineas},
  journal={TKDD},
  year={2017},
  volume={11},
  pages={38:1-38:26}
}
We present and analyze a simple, two-step algorithm to approximate the optimal solution of the sparse PCA problem. In the proposed approach, we first solve an ℓ1-penalized version of the NP-hard sparse PCA optimization problem and then we use a randomized rounding strategy to sparsify the resulting dense solution. Our main theoretical result guarantees an additive error approximation and provides a tradeoff between sparsity and accuracy. Extensive experimental evaluation indicates that the… CONTINUE READING

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