amanpg

Alternating Manifold Proximal Gradient Method for Sparse PCA uses the Alternating Manifold Proximal Gradient (AManPG) method to find sparse principal components from a data or covariance matrix. Provides a novel algorithm for solving the sparse principal component analysis problem which provides advantages over existing methods in terms of efficiency and convergence guarantees. Chen, S., Ma, S., Xue, L., & Zou, H. (2020) doi:10.1287/ijoo.2019.0032. Zou, H., Hastie, T., & Tibshirani, R. (2006) doi:10.1198/106186006X113430. Zou, H., & Xue, L. (2018) doi:10.1109/JPROC.2018.2846588.

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