Iteratively Reweighted Least Squares Algorithms for L1-Norm Principal Component Analysis by Young Woong Park, Diego Klabjan
Principal component analysis (PCA) is often used to reduce the dimension of data by selecting a few orthonormal vectors that explain most of the variance structure of the data. L1 PCA uses the L1 norm to measure error, whereas the conventional PCA uses the L2 norm. For the L1 PCA problem minimizing the fitting error of the reconstructed data, we propose an exact reweighted and an approximate algorithm based on iteratively reweighted least squares. We provide convergence analyses, and compare their performance against benchmark algorithms in the literature. The computational experiment shows that the proposed algorithms consistently perform best.
Online Learning for Sparse PCA in High Dimensions: Exact Dynamics and Phase Transitions by Chuang Wang, Yue M. Lu
We study the dynamics of an online algorithm for learning a sparse leading eigenvector from samples generated from a spiked covariance model. This algorithm combines the classical Oja's method for online PCA with an element-wise nonlinearity at each iteration to promote sparsity. In the high-dimensional limit, the joint empirical measure of the underlying sparse eigenvector and its estimate provided by the algorithm is shown to converge weakly to a deterministic, measure-valued process. This scaling limit is characterized as the unique solution of a nonlinear PDE, and it provides exact information regarding the asymptotic performance of the algorithm. For example, performance metrics such as the cosine similarity and the misclassification rate in sparse support recovery can be obtained by examining the limiting dynamics. A steady-state analysis of the nonlinear PDE also reveals an interesting phase transition phenomenon. Although our analysis is asymptotic in nature, numerical simulations show that the theoretical predictions are accurate for moderate signal dimensions.
Consistent Discretization and Minimization of the L1 Norm on Manifolds by Alex Bronstein, Yoni Choukroun, Ron Kimmel, Matan Sela
The L1 norm has been tremendously popular in signal and image processing in the past two decades due to its sparsity-promoting properties. More recently, its generalization to non-Euclidean domains has been found useful in shape analysis applications. For example, in conjunction with the minimization of the Dirichlet energy, it was shown to produce a compactly supported quasi-harmonic orthonormal basis, dubbed as compressed manifold modes. The continuous L1 norm on the manifold is often replaced by the vector l1 norm applied to sampled functions. We show that such an approach is incorrect in the sense that it does not consistently discretize the continuous norm and warn against its sensitivity to the specific sampling. We propose two alternative discretizations resulting in an iteratively-reweighed l2 norm. We demonstrate the proposed strategy on the compressed modes problem, which reduces to a sequence of simple eigendecomposition problems not requiring non-convex optimization on Stiefel manifolds and producing more stable and accurate results.
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