Robust Sparse Principal Component Analysis (robspca).

Description

Implementation of robust SPCA, using variable projection as an optimization strategy.

Usage

robspca(X, k = NULL, alpha = 1e-04, beta = 1e-04, gamma = 100,
  center = TRUE, scale = FALSE, max_iter = 1000, tol = 1e-05,
  verbose = TRUE)

Arguments

Details

Sparse principal component analysis is a modern variant of PCA. Specifically, SPCA attempts to find sparse weight vectors (loadings), i.e., a weight vector with only a few 'active' (nonzero) values. This approach leads to an improved interpretability of the model, because the principal components are formed as a linear combination of only a few of the original variables. Further, SPCA avoids overfitting in a high-dimensional data setting where the number of variables p is greater than the number of observations n.

Such a parsimonious model is obtained by introducing prior information like sparsity promoting regularizers. More concreatly, given an (n,p) data matrix X, robust SPCA attemps to minimize the following objective function:

f(A,B) = \frac{1}{2} \| X - X B A^\top - S \|^2_F + \psi(B) + \gamma \|S\|_1

where B is the sparse weight matrix (loadings) and A is an orthonormal matrix. \psi denotes a sparsity inducing regularizer such as the LASSO (\ell_1 norm) or the elastic net (a combination of the \ell_1 and \ell_2 norm). The matrix S captures grossly corrupted outliers in the data.

The principal components Z are formed as

Z = X B

and the data can be approximately rotated back as

\tilde{X} = Z A^\top

The print and summary method can be used to present the results in a nice format.

Value

spca returns a list containing the following three components:

Author(s)

N. Benjamin Erichson, Peng Zheng, and Sasha Aravkin

References

• [1] N. B. Erichson, P. Zheng, K. Manohar, S. Brunton, J. N. Kutz, A. Y. Aravkin. "Sparse Principal Component Analysis via Variable Projection." Submitted to IEEE Journal of Selected Topics on Signal Processing (2018). (available at 'arXiv https://arxiv.org/abs/1804.00341).

See Also

rspca, spca

Examples

# Create artifical data
m <- 10000
V1 <- rnorm(m, 0, 290)
V2 <- rnorm(m, 0, 300)
V3 <- -0.1*V1 + 0.1*V2 + rnorm(m,0,100)

X <- cbind(V1,V1,V1,V1, V2,V2,V2,V2, V3,V3)
X <- X + matrix(rnorm(length(X),0,1), ncol = ncol(X), nrow = nrow(X))

# Compute SPCA
out <- robspca(X, k=3, alpha=1e-3, beta=1e-5, gamma=5, center = TRUE, scale = FALSE, verbose=0)
print(out)
summary(out)

Randomized Sparse Principal Component Analysis (rspca).

Description

Randomized accelerated implementation of SPCA, using variable projection as an optimization strategy.

Usage

rspca(X, k = NULL, alpha = 1e-04, beta = 1e-04, center = TRUE,
  scale = FALSE, max_iter = 1000, tol = 1e-05, o = 20, q = 2,
  verbose = TRUE)

Arguments

Details

Sparse principal component analysis is a modern variant of PCA. Specifically, SPCA attempts to find sparse weight vectors (loadings), i.e., a weight vector with only a few 'active' (nonzero) values. This approach leads to an improved interpretability of the model, because the principal components are formed as a linear combination of only a few of the original variables. Further, SPCA avoids overfitting in a high-dimensional data setting where the number of variables p is greater than the number of observations n.

Such a parsimonious model is obtained by introducing prior information like sparsity promoting regularizers. More concreatly, given an (n,p) data matrix X, SPCA attemps to minimize the following objective function:

f(A,B) = \frac{1}{2} \| X - X B A^\top \|^2_F + \psi(B)

where B is the sparse weight (loadings) matrix and A is an orthonormal matrix. \psi denotes a sparsity inducing regularizer such as the LASSO (\ell_1 norm) or the elastic net (a combination of the \ell_1 and \ell_2 norm). The principal components Z are formed as

Z = X B

and the data can be approximately rotated back as

\tilde{X} = Z A^\top

The print and summary method can be used to present the results in a nice format.

Value

spca returns a list containing the following three components:

Note

This implementation uses randomized methods for linear algebra to speedup the computations. o is an oversampling parameter to improve the approximation. A value of at least 10 is recommended, and o=20 is set by default.

The parameter q specifies the number of power (subspace) iterations to reduce the approximation error. The power scheme is recommended, if the singular values decay slowly. In practice, 2 or 3 iterations achieve good results, however, computing power iterations increases the computational costs. The power scheme is set to q=2 by default.

If k > (min(n,p)/4), a the deterministic spca algorithm might be faster.

Author(s)

N. Benjamin Erichson, Peng Zheng, and Sasha Aravkin

References

• [1] N. B. Erichson, P. Zheng, K. Manohar, S. Brunton, J. N. Kutz, A. Y. Aravkin. "Sparse Principal Component Analysis via Variable Projection." Submitted to IEEE Journal of Selected Topics on Signal Processing (2018). (available at 'arXiv https://arxiv.org/abs/1804.00341).

• [1] N. B. Erichson, S. Voronin, S. Brunton, J. N. Kutz. "Randomized matrix decompositions using R." Submitted to Journal of Statistical Software (2016). (available at 'arXiv http://arxiv.org/abs/1608.02148).

See Also

spca, robspca

Examples

# Create artifical data
m <- 10000
V1 <- rnorm(m, 0, 290)
V2 <- rnorm(m, 0, 300)
V3 <- -0.1*V1 + 0.1*V2 + rnorm(m,0,100)

X <- cbind(V1,V1,V1,V1, V2,V2,V2,V2, V3,V3)
X <- X + matrix(rnorm(length(X),0,1), ncol = ncol(X), nrow = nrow(X))

# Compute SPCA
out <- rspca(X, k=3, alpha=1e-3, beta=1e-3, center = TRUE, scale = FALSE, verbose=0)
print(out)
summary(out)

Sparse Principal Component Analysis (spca).

Description

Implementation of SPCA, using variable projection as an optimization strategy.

Usage

spca(X, k = NULL, alpha = 1e-04, beta = 1e-04, center = TRUE,
  scale = FALSE, max_iter = 1000, tol = 1e-05, verbose = TRUE)

Arguments

Details

Sparse principal component analysis is a modern variant of PCA. Specifically, SPCA attempts to find sparse weight vectors (loadings), i.e., a weight vector with only a few 'active' (nonzero) values. This approach leads to an improved interpretability of the model, because the principal components are formed as a linear combination of only a few of the original variables. Further, SPCA avoids overfitting in a high-dimensional data setting where the number of variables p is greater than the number of observations n.

Such a parsimonious model is obtained by introducing prior information like sparsity promoting regularizers. More concreatly, given an (n,p) data matrix X, SPCA attemps to minimize the following objective function:

f(A,B) = \frac{1}{2} \| X - X B A^\top \|^2_F + \psi(B)

where B is the sparse weight (loadings) matrix and A is an orthonormal matrix. \psi denotes a sparsity inducing regularizer such as the LASSO (\ell_1 norm) or the elastic net (a combination of the \ell_1 and \ell_2 norm). The principal components Z are formed as

Z = X B

and the data can be approximately rotated back as

\tilde{X} = Z A^\top

The print and summary method can be used to present the results in a nice format.

Value

spca returns a list containing the following three components:

Author(s)

N. Benjamin Erichson, Peng Zheng, and Sasha Aravkin

References

• [1] N. B. Erichson, P. Zheng, K. Manohar, S. Brunton, J. N. Kutz, A. Y. Aravkin. "Sparse Principal Component Analysis via Variable Projection." Submitted to IEEE Journal of Selected Topics on Signal Processing (2018). (available at 'arXiv https://arxiv.org/abs/1804.00341).

See Also

rspca, robspca

Examples

# Create artifical data
m <- 10000
V1 <- rnorm(m, 0, 290)
V2 <- rnorm(m, 0, 300)
V3 <- -0.1*V1 + 0.1*V2 + rnorm(m,0,100)

X <- cbind(V1,V1,V1,V1, V2,V2,V2,V2, V3,V3)
X <- X + matrix(rnorm(length(X),0,1), ncol = ncol(X), nrow = nrow(X))

# Compute SPCA
out <- spca(X, k=3, alpha=1e-3, beta=1e-3, center = TRUE, scale = FALSE, verbose=0)
print(out)
summary(out)