Sparse Generalized Eigenvalue Problem Via Smooth Optimization

In this paper, we consider an ℓ 0 -norm penalized formulation of the generalized eigenvalue problem (GEP), aimed at extracting the leading sparse generalized eigenvector of a matrix pair. The formulation involves maximization of a discontinuous nonconcave objective function over a nonconvex constrai...

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Bibliographic Details

Published in:	IEEE transactions on signal processing Vol. 63; no. 7; pp. 1627 - 1642
Main Authors:	Junxiao Song, Babu, Prabhu, Palomar, Daniel P.
Format:	Journal Article
Language:	English
Published:	IEEE 01.04.2015
Subjects:	Approximation methods Eigenvalues and eigenfunctions Minorization-maximization Principal component analysis Signal processing algorithms smooth optimization sparse generalized eigenvalue problem Sparse matrices sparse PCA Tin Vectors
ISSN:	1053-587X, 1941-0476
Online Access:	Get full text
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